Computing the moments of order statistics from nonidentically distributed phase-type random variables

In this paper, we derive a recurrence relation for the single moments of order statistics (o.s.) arising from n independent nonidentically distributed phase-type (PH) random variables (r.v.’s). This recurrence relation will enable one to compute all single moments of all o.s. in a simple recursive m...

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Bibliographic Details
Published in:Journal of computational and applied mathematics 2011-03, Vol.235 (9), p.2897-2903
Main Authors: Zhang, Xuan, Hou, Zhenting
Format: Article
Language:English
Subjects:
Computation
Difference and functional equations, recurrence relations
Exact sciences and technology
Mathematical analysis
Mathematical models
Mathematics
Moments
Numerical analysis
Numerical analysis. Scientific computation
Order statistics
Phase-type distribution
Random variables
Recursive
Sciences and techniques of general use
Statistics
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Summary:In this paper, we derive a recurrence relation for the single moments of order statistics (o.s.) arising from n independent nonidentically distributed phase-type (PH) random variables (r.v.’s). This recurrence relation will enable one to compute all single moments of all o.s. in a simple recursive manner.
ISSN:0377-0427
1879-1778
DOI:10.1016/j.cam.2010.11.012