Creative Commons Attribution 4.0 license (CC BY 4.0)when quoting this document, please refer to the following
DOI: 10.4230/DagSemProc.07461.10
URN: urn:nbn:de:0030-drops-13975
URL: https://drops.dagstuhl.de/opus/volltexte/2008/1397/
Bladt, Mogens ; Nielsen, Bo Friis
Multivariate matrix-exponential distributions
| pdf-format: |
|
Abstract
We review what is currently known about one-dimensional distributions onthe 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:DagSemProc.07461.10,
author = {Bladt, Mogens and Nielsen, Bo Friis},
title = {{Multivariate matrix-exponential distributions}},
booktitle = {Numerical Methods for Structured Markov Chains},
pages = {1--13},
series = {Dagstuhl Seminar Proceedings (DagSemProc)},
ISSN = {1862-4405},
year = {2008},
volume = {7461},
editor = {Dario Bini and Beatrice Meini and Vaidyanathan Ramaswami and Marie-Ange Remiche and Peter Taylor},
publisher = {Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
address = {Dagstuhl, Germany},
URL = {https://drops.dagstuhl.de/opus/volltexte/2008/1397},
URN = {urn:nbn:de:0030-drops-13975},
doi = {10.4230/DagSemProc.07461.10},
annote = {Keywords: Multivariate matrix-exponential distributions, multivariate phase-type distributions, rational Laplace transform}
}
| Keywords: | Multivariate matrix-exponential distributions, multivariate phase-type distributions, rational Laplace transform | |
| Seminar: | 07461 - Numerical Methods for Structured Markov Chains | |
| Issue date: | 2008 | |
| Date of publication: | 07.04.2008 |
