Constructing estimating equations from queue length data

In this paper we consider the problem of estimating the parameters of a Markov queueing model from discrete time observations of the queue length. The proposed approach is an application of the martingale estimating function methodology which has been used extensively in mathematical finance. A small simulation study suggests that the estimator performs well, even for moderate sample size, and that it is an improvement over the Gaussian diffusion based, approximate maximum likelihood estimator.