Continuous scaled phase-type distributions
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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
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TY - JOUR
T1 - Continuous scaled phase-type distributions
AU - Albrecher, Hansjörg
AU - Bladt, Martin
AU - Bladt, Mogens
AU - Yslas, Jorge
N1 - Publisher Copyright: © 2022 The Author(s). Published with license by Taylor and Francis Group, LLC.
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