Continuous scaled phase-type distributions

03/03/2021

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by   Hansjoerg Albrecher, et al.

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We study random variables arising as the product of phase-type distributions and continuous random variables, revisiting their asymptotic properties, and developing an expectation-maximization algorithm for their statistical analysis. Throughout, emphasis is made on closed-form formulas for various functionals of the resulting mixed distributions, which facilitates their analysis and implementation.