Journal article

Fitting with matrix-exponential distributions

M Fackrell

Stochastic Models | TAYLOR & FRANCIS INC | Published : 2005


It is well known that general phase-type distributions are considerably overparameterized, that is, their representations often require many more parameters than is necessary to define the distributions. In addition, phase-type distributions, even those defined by a small number of parameters, may have representations of high order. These two problems have serious implications when using phase-type distributions to fit data. To address this issue we consider fitting data with the wider class of matrix-exponential distributions. Representations for matrix-exponential distributions do not need to have a simple probabilistic interpretation, and it is this relaxation which ensures that the probl..

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University of Melbourne Researchers