A new class of multivariate phase type distributions

A new class of multivariate phase type distributions

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Article ID: iaor1988687
Country: United States
Volume: 37
Issue: 1
Start Page Number: 151
End Page Number: 158
Publication Date: Jan 1989
Journal: Operations Research
Authors:
Keywords: probability, quality & reliability
Abstract:

A new class of multivariate phase type distributions (denoted by MPH*) is defined, based upon the total accumulated reward until absorption in a finite state, continuous time Markov chain. This new class is shown to be a strict superset of the class of multivariate phase type distributions MPH introduced by Assaf, Langberg, Savits and Shaked. A conjectured property (viz. closure under finite convolutions) of the class MPH is proved using the class MPH* defined here. Computational techniques for the distributions in MPH* are discussed. Closure properties of MPH* are stated and an open problem is discussed.

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