Fitting inhomogeneous phase‐type distributions to data: the univariate and the multivariate case

DOI10.1111/SJOS.12505OpenAlexW3101038377MaRDI QIDQ5872946FDOQ5872946

Authors: Mogens Bladt, Jorge Yslas, Hansjörg Albrecher 

Publication date: 5 January 2023

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.13003

zbMATH Keywords

parameter estimationheavy tailsinhomogeneous phase-typematrix Pareto distributionmatrix Weibull distributionmultivariate phase-type

Mathematics Subject Classification ID

Statistics (62-XX)

Cited In (10)

• Phase-type mixture-of-experts regression for loss severities
• Penalised likelihood methods for phase-type dimension selection
• Joint lifetime modeling with matrix distributions
• Aggregate Markov models in life insurance: estimation via the EM algorithm
• Estimating absorption time distributions of general Markov jump processes
• Phase-type representations of stochastic interest rates with applications to life insurance
• Mortality modeling and regression with matrix distributions
• Title not available (Why is that?)
• Multivariate matrix-exponential affine mixtures and their applications in risk theory
• Robust claim frequency modeling through phase-type mixture-of-experts regression

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