Matrix-exponential distribution

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Matrix-exponential
Parameters α, T, s
Support x ∈ [0, ∞)
pdf α ex Ts
CDF 1 + αexTT–1s

In probability theory, the matrix-exponential distribution is an absolutely continuous distribution with rational Laplace–Stieltjes transform.[1] They were first introduced by David Cox in 1955 as distributions with rational Laplace–Stieltjes transforms.[2]

The probability density function is

 f(x) = \mathbf{\alpha} e^{x\,T} \mathbf{s} \text{ for }x\ge 0

(and 0 when x < 0) where


\begin{align}
\alpha & \in \mathbb R^{1\times n}, \\
T & \in \mathbb R^{n\times n}, \\
s & \in \mathbb R^{n\times 1}.
\end{align}

There are no restrictions on the parameters α, T, s other than that they correspond to a probability distribution.[3] There is no straightforward way to ascertain if a particular set of parameters form such a distribution.[2] The dimension of the matrix T is the order of the matrix-exponential representation.[1]

The distribution is a generalisation of the phase type distribution.

Moments[edit]

If X has a matrix-exponential distribution then the kth moment is given by[2]

\mathbb E(X^k) = (-1)^{k+1}k! \mathbf{\alpha} T^{-(k+1)}\mathbf{s}.

Fitting[edit]

Matrix exponential distributions can be fitted using maximum likelihood estimation.[4]

Software[edit]

See also[edit]

References[edit]

  1. ^ a b Asmussen, S. R.; o’Cinneide, C. A. (2006). "Encyclopedia of Statistical Sciences". doi:10.1002/0471667196.ess1092.pub2. ISBN 0471667196.  |chapter= ignored (help) edit
  2. ^ a b c Bean, N. G.; Fackrell, M.; Taylor, P. (2008). "Characterization of Matrix-Exponential Distributions". Stochastic Models 24 (3): 339. doi:10.1080/15326340802232186.  edit
  3. ^ He, Q. M.; Zhang, H. (2007). "On matrix exponential distributions". Advances in Applied Probability (Applied Probability Trust) 39: 271–292. doi:10.1239/aap/1175266478.  edit
  4. ^ Fackrell, M. (2005). "Fitting with Matrix-Exponential Distributions". Stochastic Models 21 (2–3): 377. doi:10.1081/STM-200056227.  edit