DagSemProc.07461.12.pdf
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On the Properties of Moments of Matrix Exponential Distributions and Matrix Exponential Processes
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Dagstuhl Seminar Proceedings, Volume 7461
Series: Dagstuhl Seminar Proceedings (DagSemProc) - License:
Creative Commons Attribution 4.0 International license
- Publication Date: 2008-04-07
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Levente Bodrog, András Horváth, and Miklós Telek. On the Properties of Moments of Matrix Exponential Distributions and Matrix Exponential Processes. In Numerical Methods for Structured Markov Chains. Dagstuhl Seminar Proceedings, Volume 7461, pp. 1-12, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2008)
https://doi.org/10.4230/DagSemProc.07461.12
https://doi.org/10.4230/DagSemProc.07461.12
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.
Keywords
- Matrix exponential process
- Markov arrival process
- Matrix exponential distribution
- phase type distribution
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