Multivariate Fractional Phase—Type Distributions

Autor:	Mogens Bladt, Martin Bladt, Hansjoerg Albrecher
Rok vydání:	2020
Předmět:	Pure mathematics Class (set theory) Multivariate statistics Applied Mathematics 010102 general mathematics Phase (waves) Tail dependence Contrast (statistics) Type (model theory) 01 natural sciences 010104 statistics & probability Markovian jump 0101 mathematics Analysis Mathematics
Zdroj:	Albrecher, H, Bladt, M & Bladt, M 2020, ' Multivariate fractional phase–type distributions ', Fractional Calculus and Applied Analysis, vol. 23, no. 5, pp. 1431-1451 . https://doi.org/10.1515/fca-2020-0071
ISSN:	1314-2224 1311-0454
DOI:	10.1515/fca-2020-0071
Popis:	We extend the Kulkarni class of multivariate phase{type distributions in a natural time{fractional way to construct a new class of multivariate distributions with heavy-tailed Mittag-Leffler(ML)-distributed marginals. The approach relies on assigning rewards to a non{Markovian jump process with ML sojourn times. This new class complements an earlier multivariate ML construction and in contrast to the former also allows for tail dependence. We derive properties and characterizations of this class, and work out some special cases that lead to explicit density representations.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::aebe50c48086008d00ef4280ff309b23 https://doi.org/10.1515/fca-2020-0071 Zobrazit plný text záznamu Full text from SpringerLink