Matrix-exponential Distributions in Applied Probability: 81 - Brossura

Bladt, Mogens; Nielsen, Bo Friis

Brossura

ISBN 10: 1493983776 ISBN 13: 9781493983773

Casa editrice: Springer Nature, 2018

Riassunto

This book contains an in-depth treatment of matrix-exponential (ME) distributions and their sub-class of phase-type (PH) distributions. Loosely speaking, an ME distribution  is obtained through replacing the intensity parameter in an exponential distribution by a matrix. The ME distributions can also be identified as the class of non-negative distributions with rational Laplace transforms. If the matrix has the structure of a sub-intensity matrix for a Markov jump process we obtain a PH distribution which allows for nice probabilistic interpretations facilitating the derivation of exact solutions and closed form formulas.

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.

Aimed as a textbook for graduate students in applied probability and statistics, the book provides all the necessary background on Poisson processes, Markov chains, jump processes, martingales and re-generative methods. It is our hope that the provided background may encourage researchers and practitioners from other fields, like biology, genetics and medicine, who wish to become acquainted with the matrix-exponential method and its applications.

Su questo libro

Informazioni sull?autore

Bo Friis Nielsen is an associate professor in the Department of Applied Mathematics and Computer Science at the Technical University of Denmark. 

Mogens Bladt is a researcher in the Department of Probability  and Statistics at the Institute for Applied Mathematics and Systems, National University of Mexico (UNAM).

Dalla quarta di copertina

This book contains an in-depth treatment of matrix-exponential (ME) distributions and their sub-class of phase-type (PH) distributions. Loosely speaking, an ME distribution is obtained through replacing the intensity parameter in an exponential distribution by a matrix. The ME distributions can also be identified as the class of non-negative distributions with rational Laplace transforms. If the matrix has the structure of a sub-intensity matrix for a Markov jump process we obtain a PH distribution which allows for nice probabilistic interpretations facilitating the derivation of exact solutions and closed form formulas.

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.

Aimed as a textbook for graduate students in applied probability and statistics, the book provides all the necessary background on Poisson processes, Markov chains, jump processes, martingales and re-generative methods. It is our hope that the provided background may encourage researchers and practitioners from other fields, like biology, genetics and medicine, who wish to become acquainted with the matrix-exponential method and its applications.

Dettagli dell?edizione

• Editore: Springer Nature
• Data di pubblicazione: 2018
• ISBN 10: 1493983776
• ISBN 13: 9781493983773
• Rilegatura: Copertina flessibile
• Lingua: Inglese
• Numero di pagine: 736
• Contatto del produttore: non disponibile