Moment bounds of PH distributions with infinite or finite support based on the steepest increase property

DOI10.1017/APR.2019.7zbMath1427.60039OpenAlexW2962962613MaRDI QIDQ5203895

Illés Horváth, Miklós Telek, Gábor Horváth, Qi-Ming He

Publication date: 9 December 2019

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/apr.2019.7

zbMATH Keywords

phase-type distributionmoment boundfinite supportinfinite support

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Exact distribution theory in statistics (62E15) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (4)

STATIONARY MARKOVIAN ARRIVAL PROCESSES: RESULTS AND OPEN PROBLEMS ⋮ Ruin problems for risk processes with dependent phase-type claims ⋮ Transient and first passage time distributions of first- and second-order multi-regime Markov fluid queues via ME-fication ⋮ Bounds on the mean and squared coefficient of variation of phase-type distributions

Cites Work

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• Phase-type distributions and majorization
• Majorization and Extremal PH Distributions
• Phase Type Distributions with Finite Support
• Characterization of phase-type distributions
• The least variable phase type distribution is erlang
• On non-uniqueness of representations of phase-type distributions
• Phase-type distributions: open problems and a few properties
• A proof of the steepest increase conjecture of a phase-type density

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