Moment Matching-Based Distribution Fitting with Generalized Hyper-Erlang Distributions

Horváth, Gábor (2013) Moment Matching-Based Distribution Fitting with Generalized Hyper-Erlang Distributions. In: Analytical and Stochastic Modeling Techniques and Applications: 20th International Conference, ASMTA 2013, 2013.07.08-2013.07.10, Ghent, Belgium.


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This paper describes a novel moment matching based fitting method for phase-type (PH) distributions. A special sub-class of phase-type distributions is introduced for the fitting, called generalized hyper-Erlang distributions. The user has to provide only two parameters: the number of moments to match, and the upper bound for the sum of the multiplicities of the eigenvalues of the distribution, which is related to the maximal size of the resulting PH distribution. Given these two parameters, our method obtains all PH distributions that match the target moments and have a Markovian representation up to the given size. From this set of PH distributions the best one can be selected according to any distance function.

Item Type: Conference or Workshop Item (Paper)
Subjects: T Technology / alkalmazott, műszaki tudományok > T2 Technology (General) / műszaki tudományok általában
Depositing User: Gábor Horváth
Date Deposited: 22 Sep 2014 14:33
Last Modified: 22 Sep 2014 14:33

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