Parameter Estimation of Discrete Multivariate Phase-Type Distributions

被引：0
|
作者：
Qi-Ming He
Jiandong Ren
机构：
[1] University of Waterloo,Department of Management Sciences
[2] University of Western Ontario,Department of Statistical and Actuarial Sciences
来源：
Methodology and Computing in Applied Probability | 2016年 / 18卷
关键词：
Risk analysis; Parameter estimation; PH-distributions; Primary: 60-08; Secondary: 60J22;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper considers parameter estimation of a class of discrete multi-variate phase-type distributions (DMPH). Such discrete phase-type distributions are based on discrete Markov chains with marked transitions introduced by He and Neuts (Stoch Process Appl 74(1):37–52, 1998) and is a generalization of the discrete univariate phase–type distributions. Properties of the DMPHs are presented. An EM-algorithm is developed for estimating the parameters for DMPHs. A number of numerical examples are provided to address some interesting parameter selection issues and to show possible applications of DMPHs.
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页码：629 / 651
页数：22
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