On the Properties of Acyclic Bilateral Phase Type Distributions
András Horváth, Miklós Telek
This paper aims to collect a set of properties of bilateral
phase type (BPH) distributions that helps their practical
use. Similar to the relation of the phase type (PH) and the
acyclic phase type (APH) distributions, it turns out that restricting
the underlying Markov chain to be acyclic results in
a more tractable class of distributions, the acyclic bilateral
phase type (ABPH) distributions. Here we present a canonical
representation, moment bounds and moment matching
methods for ABPH distributions.
Keywords: phase type distributions, bilateral phase type distributions,
moment bounds, moment fitting.
András Horváth, 2008-06-25