Penalised likelihood methods for phase-type dimension selection

DOI10.1515/strm-2021-0026OpenAlexW4307559894MaRDI QIDQ2093057

Alaric J. A. Müller, Martin Bladt, Hansjoerg Albrecher

Publication date: 4 November 2022

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/strm-2021-0026

zbMATH Keywords

maximum likelihood estimationphase-type distributionsdimension selectiontransformation via rewards

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08)

Related Items (3)

Phase-type mixture-of-experts regression for loss severities ⋮ Joint lifetime modeling with matrix distributions ⋮ Mortality modeling and regression with matrix distributions

Uses Software

• EMpht
• itsmr
• ITSM2000
• matrixdist

Cites Work

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• Mortality modeling and regression with matrix distributions
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• Multivariate fractional phase-type distributions
• Introduction to Time Series and Forecasting
• Matrix-Exponential Distributions in Applied Probability
• Estimating the Order of Continuous Phase-type Distributions and Markov-Modulated Poisson Processes^∗
• On identifiability and order of continuous-time aggregated Markov chains, Markov-modulated Poisson processes, and phase-type distributions
• Inhomogeneous phase-type distributions and heavy tails
• Fitting inhomogeneous phase‐type distributions to data: the univariate and the multivariate case

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