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

Bodrog, Levente; Horváth, András; Telek, Miklós

doi:10.4230/DagSemProc.07461.12

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

Authors Levente Bodrog, András Horváth, Miklós Telek

Part of: Volume: Dagstuhl Seminar Proceedings, Volume 7461
Part of: Series: Dagstuhl Seminar Proceedings (DagSemProc)
License: Creative Commons Attribution 4.0 International license
Publication Date: 2008-04-07

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Document Identifiers

DOI: 10.4230/DagSemProc.07461.12
URN: urn:nbn:de:0030-drops-13943

Subject Classification

Keywords

Matrix exponential process
Markov arrival process
Matrix exponential distribution
phase type distribution

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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.

Cite As Get BibTex

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

Author Details

Levente Bodrog

András Horváth

Miklós Telek

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