On the representation of distributions with rational moment generating functions

Mogens Bladt, Bo Friis Nielsen

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    Abstract

    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
    Place of PublicationKgs. Lyngby
    PublisherTechnical University of Denmark
    Number of pages5
    Publication statusPublished - 2012
    SeriesD T U Compute. Technical Report
    Number2012-16
    ISSN1601-2321

    Keywords

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

    Cite this

    Bladt, M., & Nielsen, B. F. (2012). On the representation of distributions with rational moment generating functions. Technical University of Denmark. D T U Compute. Technical Report, No. 2012-16