Heavy-tailed phase-type distributions

Specialeforsvar ved Jorge Yslas Altamirano

Titel: Heavy-tailed phase-type distributions

Abstract: We consider infinite-dimensional phase-type distributions as a model for heavy tailed phenomena. Using a proper scaling, an infinite mixture of a finite-dimensional phase-type distribution may result in a heavy tailed distribution with tail characteristics governed by the mixing distribution. We consider methods and algorithms for calculating distributional properties and  theoretical aspects concerning the classification of the tail behavior (regular variation, subexponential and other classes). We also propose an extension for the multivariate case. 

Vejleder: Mogens Bladt
Censor:   Bo Friis Nielsen, DTU