A numerical approach for evaluating the time-dependent distribution of a quasi birth-death process

DOI10.1007/s11009-021-09882-6zbMath1503.65025MaRDI QIDQ2157402

Birgit Sollie, M. R. H. Mandjes

Publication date: 28 July 2022

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-021-09882-6

zbMATH Keywords

maximum likelihood estimation; Markov chain; Erlang distribution; quasi birth-death processes; time-dependent probabilities

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

92D25: Population dynamics (general)

65C40: Numerical analysis or methods applied to Markov chains

Related Items

Limit equations of adaptive Erlangization and their application to environmental management, Three-level modeling of a speed-scaling supercomputer

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A functional central limit theorem for a Markov-modulated infinite-server queue
• Transition probabilities for general birth-death processes with applications in ecology, genetics, and evolution
• Functional central limit theorems for Markov-modulated infinite-server systems
• The Erlangization method for Markovian fluid flows
• Numerical transient analysis of Markov models
• Stochastic epidemic models and their statistical analysis
• Refined large deviations asymptotics for Markov-modulated infinite-server systems
• Quasi- and pseudo-maximum likelihood estimators for discretely observed continuous-time Markov branching processes
• Likelihood-based inference for discretely observed birth-death-shift processes, with applications to evolution of mobile genetic elements
• The Randomization Technique as a Modeling Tool and Solution Procedure for Transient Markov Processes
• Randomization Procedures in the Computation of Cumulative-Time Distributions over Discrete State Markov Processes
• A New Scaling and Squaring Algorithm for the Matrix Exponential
• Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• Calculating the equilibrium distribution in level dependent quasi-birth-and-death processes
• Some properties of the rate perators in level dependent uasi-birth-and-death processes with countable number of phases
• Estimation for General Birth-Death Processes
• Parameter estimation for multivariate population processes: a saddlepoint approach
• The Scaling and Squaring Method for the Matrix Exponential Revisited
• THE RUNNING MAXIMUM OF A LEVEL-DEPENDENT QUASI-BIRTH-DEATH PROCESS
• Parameter estimation for discretely observed linear birth‐and‐death processes