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Coxian approximations of matrix-exponential distributions

Content Provider	Springer Nature Link
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
ISSN	00080624
Journal	CALCOLO
Volume Number	44
Issue Number	4
e-ISSN	11265434
Language	English
Publisher	Springer-Verlag
Publisher Date	2007-01-01
Publisher Place	Berlin, Heidelberg
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Numerical Analysis Theory of Computation
Content Type	Text
Resource Type	Article
Subject	Algebra and Number Theory Computational Mathematics

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