Parameter estimation of discrete multivariate phase-type distributions
DOI10.1007/S11009-015-9442-YzbMATH Open1367.62054OpenAlexW2112420538MaRDI QIDQ340108FDOQ340108
Authors: Qi-Ming He, Jiandong Ren 
Publication date: 11 November 2016
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-015-9442-y
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- Markov chains with marked transitions
- Multivariate Phase-Type Distributions
- A New Class of Multivariate Phase Type Distributions
- Modelling default contagion using multivariate phase-type distributions
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- An EM algorithm for batch Markovian arrival processes and its comparison to a simpler estimation procedure
- Fitting bivariate losses with phase-type distributions
- Recursive formulas for compound phase distributions -- univariate and bivariate cases
Cited In (9)
- Fitting data with continuous phase-type distributions via the deterministic annealing EM algorithm
- CMPH: a multivariate phase-type aggregate loss distribution
- Multivariate finite-support phase-type distributions
- Title not available (Why is that?)
- Phase type distributions with finite support
- Variational Bayes for phase-type distribution
- Robust claim frequency modeling through phase-type mixture-of-experts regression
- Multiparameter estimation for some multivariate discrete distributions with possibly dependent components
- A New Class of Multivariate Phase Type Distributions
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