On regenerative estimation of extremal index in queueing systems

IRINA PESHKOVA, Evsey Morozov, Mariia Maltseva
In this paper, the extremal behavior of the waiting time and queue size in queueing systems is considered, based on the regenerative property of the system. Basic properties of extremal index of a stationary sequence are discussed which further relate to the maximum waiting time and queue size processes. Simulation results are presented with aim to construct confidence interval and to evaluate the sensitivity of extremal index on level of exceedances and traffic intensity