English

Multivariate fractional phase--type distributions

Probability 2020-03-26 v1 Statistics Theory Statistics Theory

Abstract

We extend the Kulkarni class of multivariate phase--type distributions in a natural time--fractional way to construct a new class of multivariate distributions with heavy-tailed Mittag-Leffler(ML)-distributed marginals. The approach relies on assigning rewards to a non--Mar\-ko\-vi\-an jump process with ML sojourn times. This new class complements an earlier multivariate ML construction \cite{multiml} and in contrast to the former also allows for tail dependence. We derive properties and characterizations of this class, and work out some special cases that lead to explicit density representations.

Keywords

Cite

@article{arxiv.2003.11122,
  title  = {Multivariate fractional phase--type distributions},
  author = {Hansjoerg Albrecher and Martin Bladt and Mogens Bladt},
  journal= {arXiv preprint arXiv:2003.11122},
  year   = {2020}
}
R2 v1 2026-06-23T14:26:08.211Z