The estimation of phase-type related functionals using Markov chain Monte Carlo methods
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The estimation of phase-type related functionals using Markov chain Monte Carlo methods (scientific article; zbMATH DE number 5026201)
The estimation of phase-type related functionals using Markov chain Monte Carlo methods (scientific article; zbMATH DE number 5026201)
Bayesian inference (62F15) Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62M99) Numerical analysis or methods applied to Markov chains (65C40) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cites work
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- scientific article; zbMATH DE number 840151 (Why is no real title available?)
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- A primer on Markov chain Monte Carlo
- Computational methods in risk theory: a matrix-algorithmic approach
- Conjugate priors for exponential families
- Inference from iterative simulation using multiple sequences
- Matrix‐analytic Models and their Analysis
- Monte Carlo sampling methods using Markov chains and their applications
- Phase-type distributions and risk processes with state-dependent premiums
- Poisson's equation for queues driven by a Markovian marked point process
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
- The variance constant for the actual waiting time of the PH/PH/1 queue
Cited in
(19)- Fitting and interpreting continuous-time latent Markov models for panel data
- Bayesian estimation of finite time ruin probabilities
- Phase-type distributions in mathematical population genetics: an emerging framework
- Markov Bridges, Bisection and Variance Reduction
- Aggregate Markov models in life insurance: estimation via the EM algorithm
- Russian and American put options under exponential phase-type Lévy models.
- Phase-type models for competing risks, with emphasis on identifiability issues
- Joint discrete and continuous matrix distribution modeling
- Heavy-tailed phase-type distributions: a unified approach
- Improvement of expectation–maximization algorithm for phase‐type distributions with grouped and truncated data
- Mortality modeling and regression with matrix distributions
- Phase-type stress-strength reliability models under progressive type-II right censoring
- Variational Bayes for phase-type distribution
- Phase-type aging modeling for health dependent costs
- BAYESIAN ESTIMATION OF RUIN PROBABILITIES WITH A HETEROGENEOUS AND HEAVY‐TAILED INSURANCE CLAIM‐SIZE DISTRIBUTION
- On semiparametric estimation of ruin probabilities in the classical risk model
- A fully Bayesian approach to inference for Coxian phase-type distributions with covariate dependent mean
- Parametric survival densities from phase-type models
- On a Dirichlet process mixture representation of phase-type distributions
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