Multivariate matrix Mittag-Leffler distributions

DOI10.1007/s10463-020-00750-7zbMath1469.62258arXiv2003.10517OpenAlexW3013005830MaRDI QIDQ2042437

Mogens Bladt, Martin Bladt, Hansjoerg Albrecher

Publication date: 20 July 2021

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.10517

zbMATH Keywords

Laplace transformsMarkov processheavy tailsextremesmultivariate distributionMittag-Leffler distributionmatrix distributionphase-type

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Statistics of extreme values; tail inference (62G32) Large deviations (60F10)

Related Items (7)

On the Semi-Mittag-Leffler Distributions ⋮ Heavy-tailed phase-type distributions: a unified approach ⋮ PHASE-TYPE DISTRIBUTIONS FOR CLAIM SEVERITY REGRESSION MODELING ⋮ Fractional inhomogeneous multi-state models in life insurance ⋮ A Tractable Class of Multivariate Phase-Type Distributions for Loss Modeling ⋮ Penalised likelihood methods for phase-type dimension selection ⋮ Tempered positive Linnik processes and their representations

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