Multivariate fractional phase–type distributions

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Standard

Multivariate fractional phase–type distributions. / Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens.

I: Fractional Calculus and Applied Analysis, Bind 23, Nr. 5, 2020, s. 1431-1451.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Albrecher, H, Bladt, M & Bladt, M 2020, 'Multivariate fractional phase–type distributions', Fractional Calculus and Applied Analysis, bind 23, nr. 5, s. 1431-1451. https://doi.org/10.1515/fca-2020-0071

APA

Albrecher, H., Bladt, M., & Bladt, M. (2020). Multivariate fractional phase–type distributions. Fractional Calculus and Applied Analysis, 23(5), 1431-1451. https://doi.org/10.1515/fca-2020-0071

Vancouver

Albrecher H, Bladt M, Bladt M. Multivariate fractional phase–type distributions. Fractional Calculus and Applied Analysis. 2020;23(5):1431-1451. https://doi.org/10.1515/fca-2020-0071

Author

Albrecher, Hansjörg ; Bladt, Martin ; Bladt, Mogens. / Multivariate fractional phase–type distributions. I: Fractional Calculus and Applied Analysis. 2020 ; Bind 23, Nr. 5. s. 1431-1451.

Bibtex

@article{a7062e94b4ff4b1481e1996cb03e3301,
title = "Multivariate fractional phase–type distributions",
abstract = "We extend the Kulkarni class of multivariate phase–type distributionsin a natural time–fractional way to construct a new class of multivariatedistributions with heavy-tailed Mittag-Leffler(ML)-distributed marginals.The approach relies on assigning rewards to a non–Markovian jump processwith ML sojourn times. This new class complements an earlier multivari-ate ML construction [2] and in contrast to the former also allows for taildependence. We derive properties and characterizations of this class, andwork out some special cases that lead to explicit density representations.",
author = "Hansj{\"o}rg Albrecher and Martin Bladt and Mogens Bladt",
year = "2020",
doi = "10.1515/fca-2020-0071",
language = "English",
volume = "23",
pages = "1431--1451",
journal = "Fractional Calculus and Applied Analysis",
issn = "1311-0454",
publisher = "De Gruyter",
number = "5",

}

RIS

TY - JOUR

T1 - Multivariate fractional phase–type distributions

AU - Albrecher, Hansjörg

AU - Bladt, Martin

AU - Bladt, Mogens

PY - 2020

Y1 - 2020

N2 - We extend the Kulkarni class of multivariate phase–type distributionsin a natural time–fractional way to construct a new class of multivariatedistributions with heavy-tailed Mittag-Leffler(ML)-distributed marginals.The approach relies on assigning rewards to a non–Markovian jump processwith ML sojourn times. This new class complements an earlier multivari-ate ML construction [2] and in contrast to the former also allows for taildependence. We derive properties and characterizations of this class, andwork out some special cases that lead to explicit density representations.

AB - We extend the Kulkarni class of multivariate phase–type distributionsin a natural time–fractional way to construct a new class of multivariatedistributions with heavy-tailed Mittag-Leffler(ML)-distributed marginals.The approach relies on assigning rewards to a non–Markovian jump processwith ML sojourn times. This new class complements an earlier multivari-ate ML construction [2] and in contrast to the former also allows for taildependence. We derive properties and characterizations of this class, andwork out some special cases that lead to explicit density representations.

U2 - 10.1515/fca-2020-0071

DO - 10.1515/fca-2020-0071

M3 - Journal article

VL - 23

SP - 1431

EP - 1451

JO - Fractional Calculus and Applied Analysis

JF - Fractional Calculus and Applied Analysis

SN - 1311-0454

IS - 5

ER -

ID: 257652527