Matrix-Exponential Distributions in Applied Probability 1st ed. 2017 Edition

Ebook Details


Mogens Bladt, Bo Friis Nielsen

Year 2017
Pages 736
Publisher Springer
Language en
ISBN 9781493970476
File Size 10.53 MB
File Format EPUB
Download Counter 122
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Ebook Description

This book contains an in-depth treatment of matrix-exponential (ME) distributions and their sub-class of phase-type (PH) distributions. Loosely speaking, an ME distribution  is obtained through replacing the intensity parameter in an exponential distribution by a matrix. The ME distributions can also be identified as the class of non-negative distributions with rational Laplace transforms. If the matrix has the structure of a sub-intensity matrix for a Markov jump process we obtain a PH distribution which allows for nice probabilistic interpretations facilitating the derivation of exact solutions and closed form formulas.