Computing the moments of order statistics from nonidentically distributed phase-type random variables (Q631888): Difference between revisions
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Revision as of 22:31, 19 March 2024
scientific article
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| English | Computing the moments of order statistics from nonidentically distributed phase-type random variables |
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Computing the moments of order statistics from nonidentically distributed phase-type random variables (English)
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14 March 2011
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The phase-type (PH) distribution is a distribution of the time until absorbtion for a finite-state Markov process. Let \(X_{1:n}\leq\dots\leq X_{n:n}\) be the order statistics of independent but not identically distributed PH random variables. The authors derive explicit formulae for the moments of \(X_{1:n}\) and \(X_{n:n}\) and a recurrence relation for the moments of \(X_{r:n}\). These results are based on the permanents representation for the distribution of \(X_{r:n}\) and the Laplace-Stieltjes transformation of the distribution. An application to stochastic activity networks is discussed.
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order statistics
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moments
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phase-type distribution
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Markov process
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absorbtion time
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Laplace-Stieltjes transform
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