On the representation of distributions with rational moment generating functions

Publication: ResearchReport – Annual report year: 2012

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This paper addresses a question concerning the generality of certain parameterisations of distributions which have a multivariate rational moment generating function. It is shown that the class of bilateral matrix-exponential distributions, as introduced in [2], is strictly larger than the bilateral multi-variate matrix-exponential distributions that arise as a generalisation of the the MPH? distributions introduced by Kulkarni [4].
Original languageEnglish
Publication date2012
Place of publicationKgs. Lyngby
PublisherTechnical University of Denmark
Number of pages5
StatePublished
NameIMM-Technical Report-2012
Number16

Keywords

  • Multivariate matrix-exponential distribution, Bilateral multivariate matrix-exponential distribution, Characterisation
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