Moment distributions of phase-type

Mogens Bladt, Bo Friis Nielsen

    Research output: Contribution to journalConference abstract in journalResearchpeer-review

    Abstract

    Both matrix-exponential and phase-type distributions have a number of important closure properties. Among those are the distributions of the age and residual life-time of a stationary renewal process with inter-arrivals of either type. In this talk we show that the spread, which is the sum of the age an residual life-time, is also phase-type distributed. Moreover, we give some explicit representations. The spread is known to have a first order moment distribution. If X is a positive random variable and ?i is its i'th moment, then the function fi(x) = xif(x)/?i is a density function, and the corresponding distribution is called the i'th order moment distribution.
    We prove that the classes of matrix-exponential or phase-type distributions are closed under the formation of moment distributions of any order. Other distributions which are closed under the formation of moment distributions are e.g. log-normal, Pareto and gamma distributions. We provide explicit representations for both the matrix-exponential class and for the phase-type distributions, where the latter class may also use the former representations, but for various reasons it is desirable to establish a phase-type representation when dealing with phase-type distributions.
    For the first order distribution we present an explicit formula for the related Lorenz curve and Gini index. Moment distributions of orders one, two and three have been extensively used in areas such as economy, physics, demography and civil engineering.

    Original languageEnglish
    JournalS I G M E T R I C S Performance Evaluation Review
    Volume39
    Issue number4
    Pages (from-to)25-26
    ISSN0163-5999
    DOIs
    Publication statusPublished - 2012
    Event7th International Conference on Matrix-Analytic Methods in Stochastic Models (MAM7) - Columbia University, New York, NY, United States
    Duration: 13 Jun 201116 Jun 2011
    http://portal.seas.columbia.edu/seas/MAM7/mam7.html

    Conference

    Conference7th International Conference on Matrix-Analytic Methods in Stochastic Models (MAM7)
    LocationColumbia University
    CountryUnited States
    CityNew York, NY
    Period13/06/201116/06/2011
    Internet address

    Bibliographical note

    Abstract only.

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