Matching three moments with minimal acyclic phase type distributions

A. Bobbio, A. Horváth, M. Telek

Research output: Contribution to journalArticle

97 Citations (Scopus)

Abstract

A number of approximate analysis techniques are based on matching moments of continuous time phase type (PH) distributions. This paper presents an explicit method to compose minimal order continuous time acyclic phase type (APH) distributions with a given first three moments. To this end we also evaluate the bounds for the first three moments of order n APH distributions (APH(n)). The investigations of these properties are based on a basic transformation, which extends the APH(n - 1) class with an additional phase in order to describe the APH(n) class.

Original languageEnglish
Pages (from-to)303-326
Number of pages24
JournalStochastic Models
Volume21
Issue number2-3
DOIs
Publication statusPublished - 2005

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Phase-type Distribution
Moment
Continuous Time
Moment Matching
Explicit Methods
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Keywords

  • Acyclic phase type distributions
  • Moment bounds
  • Moment fitting

ASJC Scopus subject areas

  • Modelling and Simulation

Cite this

Matching three moments with minimal acyclic phase type distributions. / Bobbio, A.; Horváth, A.; Telek, M.

In: Stochastic Models, Vol. 21, No. 2-3, 2005, p. 303-326.

Research output: Contribution to journalArticle

Bobbio, A. ; Horváth, A. ; Telek, M. / Matching three moments with minimal acyclic phase type distributions. In: Stochastic Models. 2005 ; Vol. 21, No. 2-3. pp. 303-326.
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