Moment matching using a family of phase-type distributions

An approach to matching the first three moments is presented for distributions with positive support and coefficient of variation greater than one Necessary and sufficient bounds are derived for the phase-type distribution defined by appending a Coxian stage to an Erlang distribution. This result is...

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Bibliographic Details
Published in:Communications in statistics. Stochastic models 2000-01, Vol.16 (3-4), p.391-398
Main Authors: Vanden Bosch, Peter M., Dietz, Dennis C., Pohl, Edward A.
Format: Article
Language:English
Subjects:
Coxian distributions
distribution comparisons
Distribution theory
Exact sciences and technology
Mathematics
moment matching
phase-type distributions
Probability
Probability and statistics
Probability theory and stochastic processes
Sciences and techniques of general use
Stochastic processes
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Summary:An approach to matching the first three moments is presented for distributions with positive support and coefficient of variation greater than one Necessary and sufficient bounds are derived for the phase-type distribution defined by appending a Coxian stage to an Erlang distribution. This result is an extension of Altiok's use of a Coxian-2 distribution for 3-moment matching
ISSN:0882-0287
2332-4058
DOI:10.1080/15326340008807595