Multivariate fractional phase–type distributions

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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.
OriginalsprogEngelsk
TidsskriftFractional Calculus and Applied Analysis
Vol/bind23
Udgave nummer5
Sider (fra-til)1431-1451
ISSN1311-0454
DOI
StatusUdgivet - 2020

ID: 257652527