Parameter estimation of discrete multivariate phase-type distributions

DOI10.1007/S11009-015-9442-YzbMath1367.62054OpenAlexW2112420538MaRDI QIDQ340108

Qi-Ming He, Jiandong Ren

Publication date: 11 November 2016

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-015-9442-y

zbMATH Keywords

parameter estimationrisk analysisPH-distributions

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Point estimation (62F10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (2)

CMPH: a multivariate phase-type aggregate loss distribution ⋮ Robust claim frequency modeling through phase-type mixture-of-experts regression

Uses Software

• EMpht

Cites Work

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• Modelling default contagion using multivariate phase-type distributions
• On the convergence properties of the EM algorithm
• Markov chains with marked transitions
• An EM algorithm for batch Markovian arrival processes and its comparison to a simpler estimation procedure
• Fitting bivariate losses with phase-type distributions
• Recursive Formulas for Compound Phase Distributions – Univariate and Bivariate Cases
• Multivariate Phase-Type Distributions
• Conditional tail expectations for multivariate phase-type distributions
• A New Class of Multivariate Phase Type Distributions

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