Multivariate Phase-Type Distributions
David Assaf,
Naftali A. Langberg,
Thomas H. Savits and
Moshe Shaked
Additional contact information
David Assaf: Hebrew University, Jerusalem, Israel
Naftali A. Langberg: Haifa University, Haifa, Israel
Thomas H. Savits: University of Pittsburgh, Pittsburgh, Pennsylvania
Moshe Shaked: University of Arizona, Tucson, Arizona
Operations Research, 1984, vol. 32, issue 3, 688-702
Abstract:
A (univariate) random variable is said to be of phase type if it can be represented as the time until absorption in a finite state absorbing Markov chain. Univariate phase type random variables are useful because they arise from processes that are often encountered in applications, they have densities that can be written in a closed form, they possess some useful closure properties, and they can approximate any nonnegative random variable. This paper introduces and discusses several extensions to the multivariate case. It shows that the multivariate random variables possess many of the properties of univariate phase type distributions and derives explicit formulas for various probabilistic quantities of interest. Some examples are included.
Keywords: 723 absorption/failure times in Markov processes; 725 joint distribution of failure times of dependent components (search for similar items in EconPapers)
Date: 1984
References: Add references at CitEc
Citations: View citations in EconPapers (19)
Downloads: (external link)
http://dx.doi.org/10.1287/opre.32.3.688 (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:32:y:1984:i:3:p:688-702
Access Statistics for this article
More articles in Operations Research from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().