Moment Distributions of Phase Type

Mogens Bladt; Bo Friis Nielsen

doi:10.1080/15326349.2011.614192

Moment Distributions of Phase Type

Mogens Bladt, Bo Friis Nielsen

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Abstract

Moment distributions of phase-type and matrix-exponential distributions are shown to remain within their respective classes. We provide a probabilistic phase-type representation for the former case and an alternative representation, with an analytically appealing form, for the latter. First order moment distributions are of special interest in areas like demography and economics, and we calculate explicit formulas for the Lorenz curve and Gini index used in these disciplines.

Original language	English
Journal	Stochastic Models
Volume	27
Issue number	4
Pages (from-to)	651
ISSN	1532-6349
DOIs	https://doi.org/10.1080/15326349.2011.614192
Publication status	Published - 2011

Keywords

Gini index
Matrix-exponential distributions
Size-biasing
Lorenz curve
Waiting time paradox
Phase-type distributions
Moment distribution

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10.1080/15326349.2011.614192

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abstract = "Moment distributions of phase-type and matrix-exponential distributions are shown to remain within their respective classes. We provide a probabilistic phase-type representation for the former case and an alternative representation, with an analytically appealing form, for the latter. First order moment distributions are of special interest in areas like demography and economics, and we calculate explicit formulas for the Lorenz curve and Gini index used in these disciplines.",

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AB - Moment distributions of phase-type and matrix-exponential distributions are shown to remain within their respective classes. We provide a probabilistic phase-type representation for the former case and an alternative representation, with an analytically appealing form, for the latter. First order moment distributions are of special interest in areas like demography and economics, and we calculate explicit formulas for the Lorenz curve and Gini index used in these disciplines.

KW - Gini index

KW - Matrix-exponential distributions

KW - Size-biasing

KW - Lorenz curve

KW - Waiting time paradox

KW - Phase-type distributions

KW - Moment distribution

U2 - 10.1080/15326349.2011.614192

DO - 10.1080/15326349.2011.614192

M3 - Journal article

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VL - 27

SP - 651

JO - Stochastic Models

JF - Stochastic Models

IS - 4

ER -

Moment Distributions of Phase Type

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Keywords

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