License: Creative Commons Attribution 4.0 International license (CC BY 4.0)
When quoting this document, please refer to the following
DOI: 10.4230/DagSemProc.07461.12
URN: urn:nbn:de:0030-drops-13943
URL: http://dagstuhl.sunsite.rwth-aachen.de/volltexte/2008/1394/
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Bodrog, Levente ; Horváth, András ; Telek, Miklós

On the Properties of Moments of Matrix Exponential Distributions and Matrix Exponential Processes

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Abstract

In this paper we provide properties of moments of matrix exponential
distributions and joint moments of matrix exponential processes. Based on
the provided properties, an algorithm is presented to compute any finite
dimensional moments of these processes based on a set of required (low
order) moments. This algorithm does not require the computation of any
representation of the given process. We present some related examples to
demonstrate the potential use of the properties of moments.

BibTeX - Entry

@InProceedings{bodrog_et_al:DagSemProc.07461.12,
  author =	{Bodrog, Levente and Horv\'{a}th, Andr\'{a}s and Telek, Mikl\'{o}s},
  title =	{{On the Properties of Moments of Matrix Exponential Distributions and Matrix Exponential Processes}},
  booktitle =	{Numerical Methods for Structured Markov Chains},
  pages =	{1--12},
  series =	{Dagstuhl Seminar Proceedings (DagSemProc)},
  ISSN =	{1862-4405},
  year =	{2008},
  volume =	{7461},
  editor =	{Dario Bini and Beatrice Meini and Vaidyanathan Ramaswami and Marie-Ange Remiche and Peter Taylor},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/opus/volltexte/2008/1394},
  URN =		{urn:nbn:de:0030-drops-13943},
  doi =		{10.4230/DagSemProc.07461.12},
  annote =	{Keywords: Matrix exponential process, Markov arrival process, Matrix exponential distribution, phase type distribution}
}

Keywords: Matrix exponential process, Markov arrival process, Matrix exponential distribution, phase type distribution
Collection: 07461 - Numerical Methods for Structured Markov Chains
Issue Date: 2008
Date of publication: 07.04.2008

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