Please use this identifier to cite or link to this item: http://hdl.handle.net/2440/37739
Type: Thesis
Title: Characterization of matrix-exponential distributions.
Author: Fackrell, Mark William
Issue Date: 2003
School/Discipline: School of Applied Mathematics
Abstract: A random variable that is defined as the absorption time of an evanescent finite-state continuous-time Markov chain is said to have a phase-type distribution. A phase-type distribution is said to have a representation (α,T ) where α is the initial state probability distribution and T is the infinitesimal generator of the Markov chain. The distribution function of a phase-type distribution can be expressed in terms of this representation. The wider class of matrix-exponential distributions have distribution functions of the same form as phase-type distributions, but their representations do not need to have a simple probabilistic interpretation. This class can be equivalently defined as the class of all distributions that have rational Laplace-Stieltjes transform. There exists a one-to-one correspondence between the Laplace-Stieltjes transform of a matrix- exponential distribution and a representation (β,S) for it where S is a companion matrix. In order to use matrix-exponential distributions to fit data or approximate probability distributions the following question needs to be answered: “Given a rational Laplace-Stieltjes transform, or a pair (β,S) where S is a companion matrix, when do they correspond to a matrix-exponential distribution?” In this thesis we address this problem and demonstrate how its solution can be applied to the abovementioned fitting or approximation problem.
Advisor: Taylor, Peter
Bean, Nigel Geoffrey
Dissertation Note: Thesis (Ph.D.)--School of Applied Mathematics, 2003.
Keywords: Markov processes, combinatorial set theory, algorithms
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