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 languageEnglish
    JournalStochastic Models
    Volume27
    Issue number4
    Pages (from-to)651
    ISSN1532-6349
    DOIs
    Publication statusPublished - 2011

    Keywords

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

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