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Inhomogeneous phase-type distributions and heavy tails
| Content Provider | Scilit |
|---|---|
| Author | Albrecher, Hansjörg Bladt, Mogens |
| Copyright Year | 2019 |
| Description | We extend the construction principle of phase-type (PH) distributions to allow for inhomogeneous transition rates and show that this naturally leads to direct probabilistic descriptions of certain transformations of PH distributions. In particular, the resulting matrix distributions enable the carrying over of fitting properties of PH distributions to distributions with heavy tails, providing a general modelling framework for heavy-tail phenomena. We also illustrate the versatility and parsimony of the proposed approach in modelling a real-world heavy-tailed fire insurance dataset. |
| Related Links | http://arxiv.org/pdf/1812.04139 https://www.cambridge.org/core/services/aop-cambridge-core/content/view/5403F9884F9D6402CDA7EC51794DDAC4/S0021900219000603a.pdf/div-class-title-inhomogeneous-phase-type-distributions-and-heavy-tails-div.pdf |
| Ending Page | 1064 |
| Page Count | 21 |
| Starting Page | 1044 |
| ISSN | 00219002 |
| e-ISSN | 14756072 |
| DOI | 10.1017/jpr.2019.60 |
| Journal | Journal of applied probability |
| Issue Number | 4 |
| Volume Number | 56 |
| Language | English |
| Publisher | Cambridge University Press (CUP) |
| Publisher Date | 2019-12-01 |
| Access Restriction | Open |
| Subject Keyword | Journal of applied probability Mathematical Physics type Heavy Tail Product Integral Matrix Pareto Distribution Matrix Weibull Distribution Primary 60j27 Secondary 62f10 |
| Content Type | Text |
| Resource Type | Article |
| Subject | Statistics and Probability Statistics, Probability and Uncertainty |
