Bilateral Phase Type Distributions

DOI10.1081/STM-200056029zbMath1069.60011OpenAlexW2010221520MaRDI QIDQ5462791

Soohan Ahn, Vaidyanathan Ramaswami

Publication date: 27 July 2005

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/stm-200056029

zbMATH Keywords

probability distributionhidden Markov modelsMarkov rewardphase type models

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Queueing theory (aspects of probability theory) (60K25) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items

Characterisation of multivariate phase type distributions ⋮ Total shift during the first passages of Markov-modulated Brownian motion with bilateral ph-type jumps: Formulas driven by the minimal solution matrix of a Riccati equation ⋮ Phase Type Distributions with Finite Support ⋮ A new class of models for heavy tailed distributions in finance and insurance risk ⋮ On a Construction of Stationary Processes via Bilateral Matrix-Exponential Distributions ⋮ Time-dependent and stationary analyses of two-sided reflected Markov-modulated Brownian motion with bilateral ph-type jumps ⋮ Approximations for time-dependent distributions in Markovian fluid models ⋮ A semi-explicit density function for Kulkarni's bivariate phase-type distribution ⋮ Parameter estimation and computation of the Fisher information matrix for functions of phase type random variables

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