Coxian approximations of matrix-exponential distributions

doi:10.1007/s10092-007-0139-7

CSpace > 应用数学研究所

	Coxian approximations of matrix-exponential distributions
	He, Qi-Ming 1; Zhang, Hanqin2
	2007
发表期刊	CALCOLO
ISSN	0008-0624
卷号	44 期号:4 页码:235-264
摘要	In this paper, we study the approximation of matrix-exponential distributions by Coxian distributions. Based on the spectral polynomial algorithm, we develop an algorithm for computing Coxian representations of Coxian distributions that are approximations of matrix-exponential distributions. As a specialization, we show that phase-type (PH) distributions can be approximated by Coxian distributions. We also show that any phase-type generator with only real eigenvalues is PH-majorized by ordered Coxian generators. Consequently, the algorithm is modified for computing ordered Coxian representations of any phase-type distribution whose Laplace-Stieltjes transform has only real poles. Numerical examples are presented to show the efficiency of the algorithm and the accuracy of the Coxian approximations.
关键词	matrix-exponential distribution Coxian distribution phase-type distribution matrix analytic methods Perron-Frobenius theory
DOI	10.1007/s10092-007-0139-7
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics
WOS记录号	WOS:000251788800004
出版者	SPRINGER
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/4962
专题	应用数学研究所
通讯作者	He, Qi-Ming
作者单位	1.Dalhousie Univ, Dept Ind Engn, Halifax, NS B3J 2X4, Canada 2.Acad Sinica, Acad Math & Syst Sci, Inst Appl Math, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	He, Qi-Ming,Zhang, Hanqin. Coxian approximations of matrix-exponential distributions[J]. CALCOLO,2007,44(4):235-264.
APA	He, Qi-Ming,&Zhang, Hanqin.(2007).Coxian approximations of matrix-exponential distributions.CALCOLO,44(4),235-264.
MLA	He, Qi-Ming,et al."Coxian approximations of matrix-exponential distributions".CALCOLO 44.4(2007):235-264.