High order concentrated matrix-exponential distributions. Issue 2 (2nd April 2020)

• Record Type: Journal Article
• Authors: Horváth, Gábor; Horváth, Illés; Telek, Miklós
• Is Part Of: Stochastic models. Volume 36:Issue 2(2020)
• Page Start: 176
• Page End: 192
• Publication Date: 2020-04-02
• Subjects: Coefficient of variation -- matrix-exponential distributions -- non-negative matrix-exponential functions -- numerical optimization; Stochastic processes -- Periodicals; Probabilities -- Periodicals; 519.2
• DOI: 10.1080/15326349.2019.1702058
• Languages: English
• ISSNs: 1532-6349

Abstract

Abstract: This paper presents matrix-exponential (ME) distributions, whose squared coefficient of variation (SCV) is very low. Currently, there is no symbolic construction available to obtain the most concentrated ME distributions, and the numerical optimization-based approaches to construct them have many pitfalls. We present a numerical optimization-based procedure which avoids numerical issues.