Multivariate fractional phase–type distributions
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- MULTIVARIATE FRACTIONAL PHASE–TYPE DISTRIBUTIONS
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We extend the Kulkarni class of multivariate phase–type distributionsin a natural time–fractional way to construct a new class of multivariatedistributions with heavy-tailed Mittag-Leffler(ML)-distributed marginals.The approach relies on assigning rewards to a non–Markovian jump processwith ML sojourn times. This new class complements an earlier multivari-ate ML construction [2] and in contrast to the former also allows for taildependence. We derive properties and characterizations of this class, andwork out some special cases that lead to explicit density representations.
Originalsprog | Engelsk |
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Tidsskrift | Fractional Calculus and Applied Analysis |
Vol/bind | 23 |
Udgave nummer | 5 |
Sider (fra-til) | 1431-1451 |
ISSN | 1311-0454 |
DOI | |
Status | Udgivet - 2020 |
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