Parameter Estimation of Discrete Multivariate Phase-Type Distributions

Qi-Ming He () and Jiandong Ren
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Qi-Ming He: University of Waterloo
Jiandong Ren: University of Western Ontario

Methodology and Computing in Applied Probability, 2016, vol. 18, issue 3, 629-651

Abstract: Abstract This paper considers parameter estimation of a class of discrete multi-variate phase-type distributions (DMPH). Such discrete phase-type distributions are based on discrete Markov chains with marked transitions introduced by He and Neuts (Stoch Process Appl 74(1):37–52, 1998) and is a generalization of the discrete univariate phase–type distributions. Properties of the DMPHs are presented. An EM-algorithm is developed for estimating the parameters for DMPHs. A number of numerical examples are provided to address some interesting parameter selection issues and to show possible applications of DMPHs.

Keywords: Risk analysis; Parameter estimation; PH-distributions; Primary: 60-08; Secondary: 60J22 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s11009-015-9442-y

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