Matching more than three moments with
acyclic phase type
András Horváth, Miklós Telek
This paper presents a matching procedure for generating an acyclic phase
type distribution of order N given the first 2N-1 moments, if they are
feasible. The matching procedure uses an iterative approach and,
theoretically, it can be applied to match an arbitrary number of moments.
The first step of the iterative procedure contains the solution of an
equation of order N and the order is decreased by one in each consecutive
step. Apart of these equations the procedure makes use of explicit
expressions. The practical applicability of the proposed procedure is
limited by the numerical accuracy of the solution of these equations and
the complexity of the involved expressions. We present examples for
matching more than 10 moments with acyclic phase type distributions.
acyclic phase type distribution, moment matching.
András Horváth, 2008-06-25