A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2020; you can also visit the original URL.
The file type is
The class of inhomogeneous phase-type distributions (IPH) was recently introduced in Albrecher and Bladt (2019) as an extension of the classical phase-type (PH) distributions. Like PH distributions, the class of IPH is dense in the class of distributions on the positive halfline, but leads to more parsimonious models in the presence of heavy tails. In this paper we propose a fitting procedure for this class to given data. We furthermore consider an analogous extension of Kulkarni's multivariatearXiv:2006.13003v2 fatcat:haw2wfkrwfaejm2pmuglgcwi7q