An alternative characterization for matrix exponential distributions

Abstract

A necessary condition for a rational Laplace-Stieltjes transform to correspond to a matrix exponential distribution is that the pole of maximal real part is real and negative. Given a rational Laplace-Stieltjes transform with such a pole, we present a method to determine whether or not the numerator polynomial admits a transform that corresponds to a matrix exponential distribution. The method relies on the minimization of a continuous function of one variable over the nonnegative real numbers. Using this approach, we give an alternative characterization for all matrix exponential distributions of order three. © Applied Probability Trust 2009.