Adaptive minimax estimation of service time distribution in the Mₜ/G/ queue from departure data

Abstract This article deals with the problem of estimating the service time distribution of the Mₜ/G/ M t / G / ∞ queue from observation of the departure epochs. We develop minimax optimal estimators of G and study behavior of the minimax pointwise risk over a suitable family of service time distribution functions. In addition, we address the problem of adaptive estimation and propose a data–driven estimation procedure that adapts to unknown smoothness of the service time distribution function G. Lastly, a numerical study is presented to illustrate practical performance of the developed adaptive procedure.