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: | Kulkarni V.G. |
Keywords: | probability, quality & reliability |
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.