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Matrix-Exponential Distributions in Applied Probability
ISBN-13:
9781493970490
Veröffentl:
2017
Seiten:
736
Autor:
Mogens Bladt
Serie:
81, Probability Theory and Stochastic Modelling
eBook Typ:
PDF
eBook Format:
EPUB
Kopierschutz:
1 - PDF Watermark
Sprache:
Englisch
Beschreibung:
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 onstatistical methods for PH distributions and related processes that will allow practitioners to calibrate models to real data.
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.
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