Matrix-Exponential Distributions in Applied Probability
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Probability distributions: general theory (60E05) Characteristic functions; other transforms (60E10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Queueing theory (aspects of probability theory) (60K25) Sums of independent random variables; random walks (60G50) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Renewal theory (60K05)
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Cited in
(only showing first 100 items - show all)- Exponential and related probability distributions on symmetric matrices
- An explicit solution to the Skorokhod embedding problem for double exponential increments
- Fractional inhomogeneous multi-state models in life insurance
- Notes on Markov embedding
- Stochastic 1D search-and-capture as a G/M/c queueing model
- Explicit results on conditional distributions of generalized exponential mixtures
- Parisian types of ruin probabilities for a class of dependent risk-reserve processes
- Multivariate phase-type theory for the site frequency spectrum
- The Markov discrete time -shock reliability model and a waiting time problem
- A factorization of a Lévy process over a phase-type horizon
- A matrix-analytical sampling formula for time-homogeneous coalescent processes under the infinite sites mutation model
- Exact calculation of the expected SFS in structured populations
- On a Dirichlet process mixture representation of phase-type distributions
- A series expansion formula of the scale matrix with applications in CUSUM analysis
- Rate of strong convergence to Markov-modulated Brownian motion
- A queueing model for time-dependent rental systems with phase-type distributed rentals and substitutions of items
- Phase-type distributions in population genetics
- On cold standby repairable systems with a random change point in failure and/or repair times
- Finding reproduction numbers for epidemic models and predator-prey models of arbitrary finite dimension using the generalized linear chain trick
- Optimal design of variable acceptance sampling plans for mixture distribution
- A solvable class of renewal processes
- Queues with Markovian arrivals, phase type services, breakdowns, and repairs
- Penalised likelihood methods for phase-type dimension selection
- A procedure for deriving new ODE models: using the generalized linear chain trick to incorporate phase-type distributed delay and dwell time assumptions
- Phase-type mixture-of-experts regression for loss severities
- Joint lifetime modeling with matrix distributions
- On the compound Poisson phase-type process and its application in shock models
- Fundamentals of matrix-analytic methods
- On moments of integrals with respect to Markov additive processes and of Markov modulated generalized Ornstein-Uhlenbeck processes
- Phase-type distributions in mathematical population genetics: an emerging framework
- A boosting first-hitting-time model for survival analysis in high-dimensional settings
- The exponential-dual matrix method: Applications to Markov chain analysis
- scientific article; zbMATH DE number 4143195 (Why is no real title available?)
- Time-dependent reliability computation of system with multistate components
- Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
- Continuous scaled phase-type distributions
- A new mixed -shock model with a change in shock distribution
- Fitting phase-type scale mixtures to heavy-tailed data and distributions
- Moments of the ruin time in a Lévy risk model
- Uncertainty quantification for Markov processes via variational principles and functional inequalities
- RAP-modulated fluid processes: first passages and the stationary distribution
- Performance analysis of work stealing strategies in large-scale multithreaded computing
- On matrix exponential distributions
- A Tractable Class of Multivariate Phase-Type Distributions for Loss Modeling
- An alternative characterization for matrix exponential distributions
- Exponential probability distribution on symmetric matrices
- An operational calculus for matrix-exponential distributions, with applications to a Brownian (q,Q) inventory model
- Bivariate phase-type distributions for experience rating in disability insurance
- Space Reduction for a Class of Multidimensional Markov Chains: A Summary and Some Applications
- Matrix‐analytic Models and their Analysis
- CMPH: a multivariate phase-type aggregate loss distribution
- Steady-State and Transient Analysis of a Single Channel Cognitive Radio Model with Impatience and Balking
- Concomitants of order statistics from bivariate phase-type distributions with continuous density functions
- Moments and polynomial expansions in discrete matrix-analytic models
- Characterisation of multivariate phase type distributions
- From PH/MAP to ME/RAP
- The Wei-Norman method for the infinite-server queue with phase-type arrivals
- Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
- Matrix representations of life insurance payments
- Building mean field ODE models using the generalized linear chain trick \& Markov chain theory
- On scale functions for Lévy processes with negative phase-type jumps
- Discussion of ``Human life is unlimited -- but short by H. Rootzén and D. Zholud
- The evaluation of system reliability under dependent shock magnitudes
- On Erlangization and extrapolation, with applications to financial regime-switching Lévy models
- Analysis of IBNR liabilities with interevent times depending on claim counts
- Bivariate Sarmanov phase-type distributions for joint lifetimes modeling
- Compound Dirichlet processes
- On the use of functional calculus for phase-type and related distributions
- Characterization of Matrix-Exponential Distributions
- Multivariate matrix Mittag-Leffler distributions
- Long time behaviour of continuous-state nonlinear branching processes with catastrophes
- Phase-type distributions for claim severity regression modeling
- On mixed censored -shock models
- Joint discrete and continuous matrix distribution modeling
- Aggregate Markov models in life insurance: properties and valuation
- A NEW SHOCK MODEL WITH A CHANGE IN SHOCK SIZE DISTRIBUTION
- Heavy-tailed phase-type distributions: a unified approach
- Optimal periodic strategies with dividends payable from gains only
- Matrix Mittag-Leffler distributions and modeling heavy-tailed risks
- Matrix‐Exponential Distributions: Calculus and Interpretations via Flows
- Matrix-Form Recursions for a Family of Compound Distributions
- Distributions of random variables involved in discrete censored δ-shock models
- A new mixed generalized -shock model
- Multivariate fractional phase-type distributions
- The TMRCA of general genealogies in populations with deterministically varying size
- Mortality modeling and regression with matrix distributions
- Optimal dividends for a NatCat insurer in the presence of a climate tipping point
- Phase-type representations of stochastic interest rates with applications to life insurance
- Computing waiting time probabilities related to \((k_1, k_2, \dots, k_l)\) pattern
- Modeling discrete common-shock risks through matrix distributions
- Computing minimal signature of coherent systems through matrix-geometric distributions
- Inhomogeneous phase-type distributions and heavy tails
- Multivariate matrix-exponential affine mixtures and their applications in risk theory
- Empirical risk analysis of mining a proof-of-work blockchain
- Assessment of shock models for a particular class of intershock time distributions
- Matrix representations of Wiener-Hopf factorisations for Lévy processes
- Reliability and optimal age replacement policy of a system subject to shocks following a Markovian arrival process
- Wiener-Hopf factorization, Erlangization and transient solutions in some Markov-modulated queueing models
- A generalized censored -shock model for multi-state systems
- Properties related with conditional expectation for a non-homogeneous Poisson process
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