Matrix-Exponential Distributions in Applied Probability

81, Probability Theory and Stochastic Modelling
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Only book that treats the theory of matrix-exponential distributions comprehensively
Preface.- Notation.- Preliminaries on Stochastic Processes.- Martingales and More General Markov Processes.- Phase-type Distributions.- Matrix-exponential Distributions.- Renewal Theory.- Random Walks.- Regeneration and Harris Chains.- Multivariate Distributions.- Markov Additive Processes.- Markovian Point Processes.- Some Applications to Risk Theory.- Statistical Methods for Markov Processes.- Estimation of Phase-type Distributions.- Bibliographic Notes.- Appendix.
The full potential of ME and PH unfolds in their use in stochastic modelling. Several chapters on generic applications, like renewal theory, random walks and regenerative processes, are included together with some specific examples from queueing theory and insurance risk. We emphasize our intention towards applications by including an extensive treatment on statistical methods for PH distributions and related processes that will allow practitioners to calibrate models to real data.
Autor: Mogens Bladt, Bo Friis Nielsen
Bo Friis Nielsen is an associate professor in the Department of Applied Mathematics and Computer Science at the Technical University of Denmark.

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Autor: Mogens Bladt
ISBN-13 :: 9781493970476
ISBN: 149397047X
Erscheinungsjahr: 31.05.2017
Verlag: Springer-Verlag GmbH
Gewicht: 1347g
Seiten: 736
Sprache: Englisch
Sonstiges: Buch, 244x164x42 mm, 37 schwarz-weiße und 21 farbige Abbildungen, 2 schwarz-weiße Tabellen, Bibliographie
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