Continuous scaled phase-type distributions

Institut for Matematiske Fag

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Standard

Continuous scaled phase-type distributions. / Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens; Yslas, Jorge.

I: Stochastic Models, Bind 39, Nr. 2, 2023, s. 293-322.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Albrecher, H, Bladt, M, Bladt, M & Yslas, J 2023, 'Continuous scaled phase-type distributions', Stochastic Models, bind 39, nr. 2, s. 293-322. https://doi.org/10.1080/15326349.2022.2089683

APA

Albrecher, H., Bladt, M., Bladt, M., & Yslas, J. (2023). Continuous scaled phase-type distributions. Stochastic Models, 39(2), 293-322. https://doi.org/10.1080/15326349.2022.2089683

Vancouver

Albrecher H, Bladt M, Bladt M, Yslas J. Continuous scaled phase-type distributions. Stochastic Models. 2023;39(2):293-322. https://doi.org/10.1080/15326349.2022.2089683

Author

Albrecher, Hansjörg ; Bladt, Martin ; Bladt, Mogens ; Yslas, Jorge. / Continuous scaled phase-type distributions. I: Stochastic Models. 2023 ; Bind 39, Nr. 2. s. 293-322.

Bibtex

@article{cf263d1d0b254d0bbfa3de62acdb2ba2,

title = "Continuous scaled phase-type distributions",

abstract = "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.",

keywords = "Heavy tails, parameter estimation, phase-type, scale mixtures",

author = "Hansj{\"o}rg Albrecher and Martin Bladt and Mogens Bladt and Jorge Yslas",

note = "Publisher Copyright: {\textcopyright} 2022 The Author(s). Published with license by Taylor and Francis Group, LLC.",

year = "2023",

doi = "10.1080/15326349.2022.2089683",

language = "English",

volume = "39",

pages = "293--322",

journal = "Stochastic Models",

issn = "1532-6349",

publisher = "Taylor & Francis",

number = "2",

}

RIS

TY - JOUR

T1 - Continuous scaled phase-type distributions

AU - Albrecher, Hansjörg

AU - Bladt, Martin

AU - Bladt, Mogens

AU - Yslas, Jorge

PY - 2023

Y1 - 2023

N2 - 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.

AB - 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.

KW - Heavy tails

KW - parameter estimation

KW - phase-type

KW - scale mixtures

U2 - 10.1080/15326349.2022.2089683

DO - 10.1080/15326349.2022.2089683

M3 - Journal article

AN - SCOPUS:85133519768

VL - 39

SP - 293

EP - 322

JO - Stochastic Models

JF - Stochastic Models

SN - 1532-6349

IS - 2

ER -

ID: 344438173