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

DOI10.1080/15326349.2016.1191954zbMATH Open1344.60022arXiv1407.7110OpenAlexW145938609MaRDI QIDQ2816627FDOQ2816627

Authors: Lothar Breuer 

Publication date: 25 August 2016

Published in: Stochastic Models (Search for Journal in Brave)

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.

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

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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)

Cites Work

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

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

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