论文标题
多元分数阶段 - 型分布
Multivariate fractional phase--type distributions
论文作者
论文摘要
我们以自然时间的方式扩展了多元相 - 型分布的Kulkarni类，以构建具有重尾的Mittag-Leffler（ML）分布的边缘的新型多元分布。该方法依赖于将奖励分配给非 - 马尔\ -ko \ -vi \ -vi \ -vi以ML Sojourn Times的跳跃过程。这个新类补充了较早的多元ML构造\ cite {multiml}，并且与前者相反，还允许尾部依赖。我们得出了此类的属性和特征，并制定了一些特殊情况，这些案例导致显式密度表示。
We extend the Kulkarni class of multivariate phase--type distributions in a natural time--fractional way to construct a new class of multivariate distributions with heavy-tailed Mittag-Leffler(ML)-distributed marginals. The approach relies on assigning rewards to a non--Mar\-ko\-vi\-an jump process with ML sojourn times. This new class complements an earlier multivariate ML construction \cite{multiml} and in contrast to the former also allows for tail dependence. We derive properties and characterizations of this class, and work out some special cases that lead to explicit density representations.
