Parameter estimation of discrete multivariate phase-type distributions

DOI10.1007/S11009-015-9442-YMaRDI QIDQ340108zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

parameter estimationrisk analysisPH-distributions

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Point estimation (62F10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cites work

• scientific article; zbMATH DE number 1183924 (Why is no real title available?)
• scientific article; zbMATH DE number 1183925 (Why is no real title available?)
• scientific article; zbMATH DE number 3701980 (Why is no real title available?)
• A New Class of Multivariate Phase Type Distributions
• An EM algorithm for batch Markovian arrival processes and its comparison to a simpler estimation procedure
• Conditional tail expectations for multivariate phase-type distributions
• Fitting bivariate losses with phase-type distributions
• Markov chains with marked transitions
• Modelling default contagion using multivariate phase-type distributions
• Multivariate Phase-Type Distributions
• On the convergence properties of the EM algorithm
• Recursive formulas for compound phase distributions -- univariate and bivariate cases

Cited in

(10)

• Fitting data with continuous phase-type distributions via the deterministic annealing EM algorithm
• Robust claim frequency modeling through phase-type mixture-of-experts regression
• A New Class of Multivariate Phase Type Distributions
• CMPH: a multivariate phase-type aggregate loss distribution
• Multivariate finite-support phase-type distributions
• scientific article; zbMATH DE number 1183924 (Why is no real title available?)
• Variational Bayes for phase-type distribution
• Joint discrete and continuous matrix distribution modeling
• Multiparameter estimation for some multivariate discrete distributions with possibly dependent components
• Phase type distributions with finite support

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Uses Software

• EMpht

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