Continuous scaled phase-type distributions
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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.
Originalsprog | Engelsk |
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Tidsskrift | Stochastic Models |
Vol/bind | 39 |
Udgave nummer | 2 |
Sider (fra-til) | 293-322 |
ISSN | 1532-6349 |
DOI | |
Status | Udgivet - 2023 |
Bibliografisk note
Funding Information:
Hansjörg Albrecher and Martin Bladt would like to acknowledge financial support from the Swiss National Science Foundation Project 200021_191984. Jorge Yslas would like to acknowledge financial support from the Swiss National Science Foundation Project IZHRZ0_180549.
Publisher Copyright:
© 2022 The Author(s). Published with license by Taylor and Francis Group, LLC.
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