A New Class of Multivariate Phase Type Distributions

V. G. Kulkarni
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V. G. Kulkarni: University of North Carolina, Chapel Hill, North Carolina

Operations Research, 1989, vol. 37, issue 1, 151-158

Abstract: A new class of multivariate phase type distributions (denoted by MPH*) is defined, based upon the total accumulated reward until absorption in a finite state, continuous time Markov chain. This new class is shown to be a strict superset of the class of multivariate phase type distributions MPH introduced by Assaf, Langberg, Savits and Shaked. A conjectured property (viz, closure under finite convolutions) of the class MPH is proved using the class MPH* defined here. Computational techniques for the distributions in MPH* are discussed. Closure properties of MPH* are stated and an open problem is discussed.

Keywords: probability; distribution comparisons: multivariate distributions; reliability: life distributions in reliability (search for similar items in EconPapers)
Date: 1989
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Citations: View citations in EconPapers (19)

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