Fitting with Matrix-Exponential Distributions

DOI10.1081/STM-200056227zbMath1065.62097MaRDI QIDQ5462795

Mark Fackrell

Publication date: 27 July 2005

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

zbMATH Keywords

maximum likelihood estimationphase-type distributionsemi-infinite programmingrational Laplace-Stieltjes transformmatrix-exponential distribution

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (13)

Quasi-Birth-and-Death Processes with Rational Arrival Process Components ⋮ Markovian Approximations for a Grid Computing Network with a Ring Structure ⋮ From PH/MAP to ME/RAP ⋮ The two-matrix problem ⋮ Multivariate matrix-exponential affine mixtures and their applications in risk theory ⋮ A Markovian canonical form of second-order matrix-exponential processes ⋮ Characterization of Matrix-Exponential Distributions ⋮ Moment characterization of matrix exponential and Markovian arrival processes ⋮ Padé approximants for finite time ruin probabilities ⋮ An alternative characterization for matrix exponential distributions ⋮ A semi-infinite programming approach to identifying matrix-exponential distributions ⋮ Fitting Matrix Geometric Distributions by Model Reduction ⋮ On matrix exponential distributions

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