Moments Characterization of Order 3 Matrix Exponential Distributions

András Horváth, Sándor Rács, and Miklós Telek


The class of order 3 phase type distributions (PH(3)) is known to be a proper subset of the class of order 3 matrix exponential distributions (ME(3)). In this paper we investigate the relation of these two sets for what concerns their moment bounds. To this end we developed a procedure to check if a matrix exponential function of order 3 defines a ME(3) distribution or not. This procedure is based on the time domain analysis of the density function. The proposed procedure requires the numerical solution of a transcendent equation in some cases.

The presented moment bounds are based on some unproved conjectures which are verified only by numerical investigations


[Publications of András Horváth]

András Horváth, 2009-08-24