Matrix-Exponential Distributions in Applied Probability: 81 (Probability Theory and Stochastic Modelling) - Tapa blanda

Acerca del autor

Bo Friis Nielsen is an associate professor in the Department of Applied Mathematics and Computer Science at the Technical University of Denmark. 
Mogens Bladt is a researcher in the Department of Probability  and Statistics at the Institute for Applied Mathematics and Systems, National University of Mexico (UNAM).

De la contraportada

This book contains an in-depth treatment of matrix-exponential (ME) distributions and their sub-class of phase-type (PH) distributions. Loosely speaking, an ME distribution  is obtained through replacing the intensity parameter in an exponential distribution by a matrix. The ME distributions can also be identified as the class of non-negative distributions with rational Laplace transforms. If the matrix has the structure of a sub-intensity matrix for a Markov jump process we obtain a PH distribution which allows for nice probabilistic interpretations facilitating the derivation of exact solutions and closed form formulas.

Aimed as a textbook for graduate students in applied probability and statistics, the book provides all the necessary background on Poisson processes, Markov chains, jump processes, martingales and re-generative methods. It is our hope that the provided background may encourage researchers and practitioners from other fields, like biology, genetics and medicine, who wish to become acquainted with the matrix-exponential method and its applications.