تقرير
Continuous scaled phase-type distributions
| العنوان: | Continuous scaled phase-type distributions |
|---|---|
| المؤلفون: | Albrecher, Hansjoerg, Bladt, Martin, Bladt, Mogens, Yslas, Jorge |
| سنة النشر: | 2021 |
| المجموعة: | Mathematics Statistics |
| مصطلحات موضوعية: | Mathematics - Probability, Mathematics - Statistics Theory |
| الوصف: | Products between phase-type distributed random variables and any independent, positive and continuous random variable are studied. Their asymptotic properties are established, and an expectation-maximization algorithm for their effective statistical inference is derived and implemented using real-world datasets. In contrast to discrete scaling studied in earlier literature, in the present continuous case closed-form formulas for various functionals of the resulting distributions are obtained, which facilitates both their analysis and implementation. The resulting mixture distributions are very often heavy-tailed and yet retain various properties of phase-type distributions, such as being dense (in weak convergence) on the set of distributions with positive support. |
| نوع الوثيقة: | Working Paper |
| URL الوصول: | http://arxiv.org/abs/2103.02457 |
| رقم الأكسشن: | edsarx.2103.02457 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |