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Coxian approximations of matrix-exponential distributions
| Content Provider | Semantic Scholar |
|---|---|
| Author | He, Qi-Ming Zhang, Hanqin |
| Copyright Year | 2007 |
| Abstract | In this paper, we study the approximation of matrix-exponential distributions by Coxian distributions. Based on the spectral polynomial algorithm, we develop an algorithm for computing Coxian representations of Coxian distributions that are approximations of matrix-exponential distributions. As a specialization, we show that phase-type (PH) distributions can be approximated by Coxian distributions. We also show that any phase-type generator with only real eigenvalues is PH-majorized by ordered Coxian generators. Consequently, the algorithm is modified for computing ordered Coxian representations of any phase-type distribution whose Laplace-Stieltjes transform has only real poles. Numerical examples are presented to show the efficiency of the algorithm and the accuracy of the Coxian approximations.Keywords: Matrix-exponential distribution, Coxian distribution, phase-type distribution, matrix analytic methods, Perron-Frobenius theoryMathematics subject classification (2000): Primary 60A99, Secondary 15A18 |
| Starting Page | 235 |
| Ending Page | 264 |
| Page Count | 30 |
| File Format | PDF HTM / HTML |
| DOI | 10.1007/s10092-007-0139-7 |
| Volume Number | 44 |
| Alternate Webpage(s) | https://mansci.uwaterloo.ca/~q7he/Z_PDF_PS_Published/2007_Calcolo_Coxian-Approximation-HE-Zhang-March.pdf |
| Alternate Webpage(s) | https://doi.org/10.1007/s10092-007-0139-7 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
