Parameter Estimation of Discrete Multivariate Phase-Type Distributions
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This paper considers parameter estimation of a class of discrete multi-variate phase-type distributions (DMPH). Such discrete phase-type distributions are based on discrete Markov chains with marked transitions introduced by He and Neuts (Stoch Process Appl 74(1):37–52, 1998) and is a generalization of the discrete univariate phase–type distributions. Properties of the DMPHs are presented. An EM-algorithm is developed for estimating the parameters for DMPHs. A number of numerical examples are provided to address some interesting parameter selection issues and to show possible applications of DMPHs.
KeywordsRisk analysis Parameter estimation PH-distributions
Mathematics Subject Classification (2010)Primary: 60-08 Secondary: 60J22
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- He Q-M, Ren J (2014) Analysis of a multivariate claim process. Methodol Comput Appl Probab. (Accepted)Google Scholar