Multivariate matrix-exponential distributions

DOI10.1080/15326340903517097MaRDI QIDQ3562369zbMATH OpenOpenAlexFDO

Authors Mogens Bladt, Bo Friis Nielsen

Publication date 21 May 2010

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://drops.dagstuhl.de/opus/volltexte/2008/1397/

zbMATH Keywords

continued fractionsHankel matricesmultivariate phase-type distributionmultivariate matrix-exponential

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characteristic functions; other transforms (60E10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites work

• scientific article; zbMATH DE number 3125848 (Why is no real title available?)
• scientific article; zbMATH DE number 846911 (Why is no real title available?)
• A Multivariate Exponential Distribution
• A New Class of Multivariate Phase Type Distributions
• A duality theorem for the matrix paradigms in queueing theory
• Multivariate Phase-Type Distributions
• Multivariate risk model of phase type
• On matrix exponential distributions
• On the Limitations of Multivariate Phase-Type Families
• Ph-distributions arising through conditioning
• The waiting-time distribution and its moments of the PH/PH/1 queue

Cited in

(27)

• On the construction of bivariate exponential distributions with an arbitrary correlation coefficient
• Two parallel insurance lines with simultaneous arrivals and risks correlated with inter-arrival times
• Queues and Risk Processes with Dependencies
• A semi-infinite programming approach to identifying matrix-exponential distributions
• Matrix-Exponential Distributions in Applied Probability
• Convolutions of multivariate phase-type distributions
• An alternative characterization for matrix exponential distributions
• Exponential probability distribution on symmetric matrices
• Characterisation of multivariate phase type distributions
• Ruin problems for risk processes with dependent phase-type claims
• scientific article; zbMATH DE number 1262222 (Why is no real title available?)
• Characterization of Matrix-Exponential Distributions
• Joint densities of hitting times for finite state Markov processes
• Multivariate matrix Mittag-Leffler distributions
• A NEW SHOCK MODEL WITH A CHANGE IN SHOCK SIZE DISTRIBUTION
• A semi-explicit density function for Kulkarni's bivariate phase-type distribution
• The study of the Laplace transform of Marshall-Olkin multivariate exponential distribution
• Modeling discrete common-shock risks through matrix distributions
• Multivariate matrix-exponential affine mixtures and their applications in risk theory
• Ruin probabilities in models with a Markov chain dependence structure
• Bilateral matrix-exponential distributions
• On two families of bivariate distributions with exponential marginals: aggregation and capital allocation
• Multiplying a Gaussian matrix by a Gaussian vector
• Exponential and related probability distributions on symmetric matrices
• A note on compound renewal risk models with dependence
• Parisian types of ruin probabilities for a class of dependent risk-reserve processes
• On a construction of stationary processes via bilateral matrix-exponential distributions

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