Fitting matrix geometric distributions by model reduction

Date

2015

Authors

Akar, N.

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Source Title

Stochastic Models

Print ISSN

1532-6349

Electronic ISSN

1532-4214

Publisher

Taylor and Francis Inc.

Volume

31

Issue

2

Pages

292 - 315

Language

English

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Abstract

A novel algorithmic method is proposed to fit matrix geometric distributions of desired order to empirical data or arbitrary discrete distributions. The proposed method effectively combines two existing approaches from two different disciplines: well-established model reduction methods used in system theory and moment matching methods of applied probability that employ second-order discrete phase-type distributions. The proposed approach is validated with exhaustive numerical examples including well-known statistical data. Copyright

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Published Version (Please cite this version)