Multivariate fractional phase-type distributions
From MaRDI portal
Publication:2660621
DOI10.1515/fca-2020-0071zbMath1474.60025arXiv2003.11122OpenAlexW3113376265MaRDI QIDQ2660621
Martin Bladt, Mogens Bladt, Hansjoerg Albrecher
Publication date: 31 March 2021
Published in: Fractional Calculus \& Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2003.11122
Fractional processes, including fractional Brownian motion (60G22) Probability distributions: general theory (60E05) Markov renewal processes, semi-Markov processes (60K15)
Related Items (6)
Heavy-tailed phase-type distributions: a unified approach ⋮ Shock models based on renewal processes with matrix Mittag-Leffler distributed inter-arrival times ⋮ Fractional inhomogeneous multi-state models in life insurance ⋮ A Tractable Class of Multivariate Phase-Type Distributions for Loss Modeling ⋮ A fractional multi-states model for insurance ⋮ Penalised likelihood methods for phase-type dimension selection
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Mittag-Leffler functions and their applications
- Fitting phase-type scale mixtures to heavy-tailed data and distributions
- On Mittag-Leffler functions and related distributions
- Analytic and asymptotic properties of multivariate generalized Linnik's probability densities
- Matrix Mittag-Leffler distributions and modeling heavy-tailed risks
- The probabilistic point of view on the generalized fractional partial differential equations
- Introductory lectures on fluctuations of Lévy processes with applications.
- Matrix-Exponential Distributions in Applied Probability
- A New Class of Multivariate Phase Type Distributions
- Statistics of Extremes
- Inhomogeneous phase-type distributions and heavy tails
- Mittag-Leffler Functions, Related Topics and Applications
This page was built for publication: Multivariate fractional phase-type distributions
