Phase-type distributions and majorization

DOI10.1214/AOAP/1177005935MaRDI QIDQ806173zbMATH OpenOpenAlexFDO

Authors Colm Art O'Cinneide

Publication date 1991

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aoap/1177005935

zbMATH Keywords

Erlang distributionmajorized by a distributionMarkov chainsphase-type distribution

Mathematics Subject Classification ID

Distribution theory (60E99) Martingales with discrete parameter (60G42) Continuous-time Markov processes on discrete state spaces (60J27)

Review text

A phase-type distribution (PH) is the distribution of the time to absorption in a finite state \((\{1,2,...,n,n+1\})\) time-homogeneous Markov chain where state \(n+1\) is the absorbing state. The PH- distribution function F can have several representations corresponding to different Markov chains. The order of F is the smallest integer n for which such a representation is possible. A distribution F is said to be majorized by a distribution G if \(\int f dF\leq \int f dG\) for all convex functions f for which the integrals are defined. The author proves that any PH-distribution of order n majorizes the order n Erlang distribution (that is, the distribution of n independent and identically distributed exponential random variables) of the same mean.

Recommendations

• Majorization and extremal PH distributions
• Phase-type distributions: open problems and a few properties
• Computing the moments of order statistics from nonidentically distributed phase-type random variables
• A closure characterisation of phase-type distributions
• An invariant of representations of phase-type distributions and some applications

Cited in

(21)

• Convex orders for linear combinations of random variables
• Moments and polynomial expansions in discrete matrix-analytic models
• Majorization and extremal PH distributions
• On some properties of bivariate exponential distributions
• The abscissa of convergence of the laplace-stieltjes transform of a ph-distribution
• scientific article; zbMATH DE number 5130070 (Why is no real title available?)
• scientific article; zbMATH DE number 4140918 (Why is no real title available?)
• Characterization of phase-type distributions
• On an inequality of Karlin and Rinott concerning weighted sums of i.i.d. random variables
• The least variable phase type distribution is erlang
• On non-uniqueness of representations of phase-type distributions
• Operational number-phase probability distribution
• Triangular order of triangular phase-type distributions^∗
• Majorization: here, there and everywhere
• Lorenz and Excess Wealth Orders, with Applications in Reinsurance Theory
• A proof of the steepest increase conjecture of a phase-type density
• The Complementary Exponential Phase Type Distribution
• Moment bounds of PH distributions with infinite or finite support based on the steepest increase property
• Spectral Polynomial Algorithms for Computing Bi-Diagonal Representations for Phase Type Distributions and Matrix-Exponential Distributions
• On the maximum queue length of the hyper scalable load balancing push strategy
• A non-convex optimization approach of searching algebraic degree phase-type representations for general phase-type distributions

This page was built for publication: Phase-type distributions and majorization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q806173)