A semi-explicit density function for Kulkarni's bivariate phase-type distribution

DOI10.1080/15326349.2016.1191954MaRDI QIDQ2816627zbMATHOpenAlexFDO

Authors Lothar Breuer

Publication date 25 August 2016

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1407.7110

zbMATH Keywords

parameter estimationmultivariatebivariatedensity functionphase-type

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Applications of continuous-time Markov processes on discrete state spaces (60J28) Continuous-time Markov processes on discrete state spaces (60J27) Local time and additive functionals (60J55)

Abstract: For a bivariate random variable $(Z_1,Z_2)$ having Kulkarni's bivariate phase-type distribution (see cite{Ku89}), we derive a simple expression for the semi-explicit density function $E(e^{-s{Z}_2}{1}_{Z_{1}indy})$. Some immediate consequences are presented as concluding remarks.

Recommendations

• On a general bivariate distribution
• The bivariate H-function distribution
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Cites work

• A New Class of Multivariate Phase Type Distributions
• A stochastic two-dimensional fluid model
• Bilateral Phase Type Distributions
• Functions de variable réelle
• Multivariate Phase-Type Distributions
• Multivariate matrix-exponential distributions
• Numerical Inversion of Laplace Transforms of Probability Distributions

Cited in

(3)

• Robust claim frequency modeling through phase-type mixture-of-experts regression
• Concomitants of order statistics from bivariate phase-type distributions with continuous density functions
• Joint discrete and continuous matrix distribution modeling

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