Multivariate fractional phase-type distributions

Détails

ID Serval
serval:BIB_F951F2B9F6AD
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Multivariate fractional phase-type distributions
Périodique
Fractional Calculus and Applied Analysis
Auteur⸱e⸱s
Albrecher Hansjoerg, Bladt Martin, Bladt Mogens
ISSN
1311-0454 (print)
1314-2224 (electronic)
Statut éditorial
Publié
Date de publication
2020
Peer-reviewed
Oui
Volume
23
Numéro
5
Pages
1431-1451
Langue
anglais
Résumé
We extend the Kulkarni class of multivariate phase{type distributions
in a natural time{fractional way to construct a new class of multivariate
distributions with heavy-tailed Mittag-Leffler(ML)-distributed marginals. The
approach relies on assigning rewards to a non{Markovian jump process with ML
sojourn times. This new class complements an earlier multivariate ML construction and in contrast to the former also allows for tail dependence. We derive
properties and characterizations of this class, and work out some special cases
that lead to explicit density representations.
Création de la notice
18/09/2020 16:30
Dernière modification de la notice
12/11/2020 7:23
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