Parameter estimation and computation of the Fisher information matrix for functions of phase type random variables

DOI10.1016/j.csda.2021.107362OpenAlexW3205385019MaRDI QIDQ2072396

Celeste R. Pavithra, T. G. Deepak

Publication date: 26 January 2022

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2021.107362

zbMATH Keywords

EM algorithmFisher informationestimation of parametersfinite support phase type distributionsfunctions of PH random variables

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• EMpht

Cites Work

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• A new class of models for heavy tailed distributions in finance and insurance risk
• Phase Type Distributions with Finite Support
• Fisher information and statistical inference for phase-type distributions
• Computing integrals involving the matrix exponential
• Direct Calculation of the Information Matrix via the EM Algorithm
• Joint coverage probability in a simulation study on continuous-time Markov chain parameter estimation
• Multivariate finite-support phase-type distributions
• Bilateral Phase Type Distributions

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