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URN: urn:nbn:de:0030-drops-13943
URL: http://drops.dagstuhl.de/opus/volltexte/2008/1394/
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Bodrog, Levente ; Horváth, András ; Telek, Miklós

On the Properties of Moments of Matrix Exponential Distributions and Matrix Exponential Processes

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Abstract

In this paper we provide properties of moments of matrix exponential distributions and joint moments of matrix exponential processes. Based on the provided properties, an algorithm is presented to compute any finite dimensional moments of these processes based on a set of required (low order) moments. This algorithm does not require the computation of any representation of the given process. We present some related examples to demonstrate the potential use of the properties of moments.

BibTeX - Entry

@InProceedings{bodrog_et_al:DSP:2008:1394,
  author =	{Levente Bodrog and Andr{\'a}s Horv{\'a}th and Mikl{\'o}s Telek},
  title =	{On the Properties of Moments of Matrix Exponential Distributions and Matrix Exponential Processes},
  booktitle =	{Numerical Methods for Structured Markov Chains},
  year =	{2008},
  editor =	{Dario Bini and Beatrice Meini and Vaidyanathan Ramaswami and Marie-Ange Remiche and Peter Taylor},
  number =	{07461},
  series =	{Dagstuhl Seminar Proceedings},
  ISSN =	{1862-4405},
  publisher =	{Internationales Begegnungs- und Forschungszentrum f{\"u}r Informatik (IBFI), Schloss Dagstuhl, Germany},
  address =	{Dagstuhl, Germany},
  URL =		{http://drops.dagstuhl.de/opus/volltexte/2008/1394},
  annote =	{Keywords: Matrix exponential process, Markov arrival process, Matrix exponential distribution, phase type distribution}
}

Keywords: Matrix exponential process, Markov arrival process, Matrix exponential distribution, phase type distribution
Seminar: 07461 - Numerical Methods for Structured Markov Chains
Issue Date: 2008
Date of publication: 07.04.2008


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