This paper studies statistical inference for a Lindley random walk model when the increment process driving the walk is strictly stationary. Lindley random walks govern customer waiting times in many queueing models and several natural and business processes, including snow depths, frozen soil depths, inventory quantities, etc. The probabilistic properties of a Lindley walk with time-correlated stationary changes are first reviewed. We provide a streamlined argument that the process has a proper limiting distribution when the mean of the incremental changes is negative, and that the Lindley process is strictly stationary when starting from this stationary distribution. Next, the Markov characteristics of the process are explored when the change process has a Markov structure of first or higher order. A derivation of the model's likelihood is given when the change process is a Gaussian autoregressive time series. An efficient particle filtering method for evaluating and optimizing the likelihood with Gaussian changes is then devised and studied via simulation.
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