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URN: urn:nbn:de:0030-drops-13975
URL: https://drops.dagstuhl.de/opus/volltexte/2008/1397/
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Bladt, Mogens ;
Nielsen, Bo Friis
Multivariate matrix-exponential distributions
Abstract
We review what is currently known about one-dimensional distributions on
the non-negative reals with rational Laplace transform, also known as
matrix-exponential distributions. In particular we discuss a flow
interpreation which enables one to mimic certain probabilisticly
inspired arguments which are known from the theory of phase-type distributions.
We then move on to present ongoing research for higher dimensions.
We discuss a characterization result, some closure properties, and
a number of examples. Finally we present open problems and future
perspectives.
BibTeX - Entry
@InProceedings{bladt_et_al:DSP:2008:1397,
author = {Mogens Bladt and Bo Friis Nielsen},
title = {Multivariate matrix-exponential distributions},
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/2008/1397},
annote = {Keywords: Multivariate matrix-exponential distributions, multivariate phase-type distributions, rational Laplace transform}
}
Keywords: |
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Multivariate matrix-exponential distributions, multivariate phase-type distributions, rational Laplace transform |
Collection: |
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07461 - Numerical Methods for Structured Markov Chains |
Issue Date: |
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2008 |
Date of publication: |
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07.04.2008 |