Convolutions of multivariate phase-type distributions

被引：1
|
作者：
Berdel, Jasmin [1 ]
Hipp, Christian [1 ]
机构：
[1] Karslruhe Inst Technol, Karlsruhe, Germany
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2011年 / 48卷 / 03期
关键词：
Phasetype distributions; Dependence models; Convolution; EXPONENTIAL-DISTRIBUTIONS;
D O I：
10.1016/j.insmatheco.2011.01.004
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper is concerned with multivariate phase-type distributions introduced by Assaf et al. (1984). We show that the sum of two independent bivariate vectors each with a bivariate phase-type distribution is again bivariate phase-type and that this is no longer true for higher dimensions. Further, we show that the distribution of the sum over different components of a vector with multivariate phase-type distribution is not necessarily multivariate phase-type either, if the dimension of the components is two or larger. (C) 2011 Elsevier B.V. All rights reserved.
引用
收藏
页码：374 / 377
页数：4
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