Phase type distributions with finite support

DOI10.1080/15326349.2014.956226MaRDI QIDQ2937476zbMATH OpenOpenAlexFDO

Authors Vaidyanathan Ramaswami, Narayanan C. Viswanath

Publication date 9 January 2015

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349.2014.956226

zbMATH Keywords

densenessEM algorithmmatrix exponential distributionphase type distributions

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Continuous-time Markov processes on discrete state spaces (60J27) Processes in random environments (60K37) Exact distribution theory in statistics (62E15)

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Cites work

• A new class of models for heavy tailed distributions in finance and insurance risk
• Bilateral Phase Type Distributions
• scientific article; zbMATH DE number 3736680 (Why is no real title available?)
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• Polynomial-Time Algorithms for Prime Factorization and Discrete Logarithms on a Quantum Computer

Cited in

(17)

• Transient and first passage time distributions of first- and second-order multi-regime Markov fluid queues via ME-fication
• Parameter estimation and computation of the Fisher information matrix for functions of phase type random variables
• Fisher information and statistical inference for phase-type distributions
• scientific article; zbMATH DE number 4140918 (Why is no real title available?)
• The least variable phase type distribution is erlang
• scientific article; zbMATH DE number 1183925 (Why is no real title available?)
• Phase-type distributions: open problems and a few properties
• Sparse representations of phase-type distributions
• scientific article; zbMATH DE number 2087798 (Why is no real title available?)
• Examples of fitting structured phase–type distributions
• Multivariate finite-support phase-type distributions
• Moment bounds of PH distributions with infinite or finite support based on the steepest increase property
• Fitting data with continuous phase-type distributions via the deterministic annealing EM algorithm
• Bilateral Phase Type Distributions
• Fitting with Matrix-Exponential Distributions
• Continuous scaled phase-type distributions
• On a Dirichlet process mixture representation of phase-type distributions

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