Moment characterization of matrix exponential and Markovian arrival processes

Levente Bodrog (), András Horváth () and Miklós Telek ()

Annals of Operations Research, 2008, vol. 160, issue 1, 68 pages

Abstract: This paper provides a general framework for establishing the relation between various moments of matrix exponential and Markovian processes. Based on this framework we present an algorithm to compute any finite dimensional moments of these processes based on a set of required (low order) moments. This algorithm does not require the computation of any representation of the given process. We present a series of related results and numerical examples to demonstrate the potential use of the obtained moment relations. Copyright Springer Science+Business Media, LLC 2008

Keywords: Matrix exponential process; Markov arrival process; Matrix exponential distribution; Phase type distribution; Moment matching; Inter-arrival time distribution; Lag-correlation (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s10479-007-0296-8

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