Computing the Phase-Type Renewal and Related Functions

Article

Kao, Edward P.C.   (1988, ASQC and the American Statistical Association)   University of Houston, Houston, TX

Technometrics    Vol. 30    No. 1
QICID: 9340    February 1988    pp. 87-93
List $10.00
Member $5.00

This article is not available online. Contact us to receive a scan of the archive, in PDF format.
New to ASQ? REGISTER HERE.

Article Abstract

This article presents a procedure for computing the renewal function, the renewal density, the integral of the renewal function, and the variance function of phase-type renewal processes. The procedure hinges on the computation of the state probability vector of a continuous-time Markov chain. This is accomplished by using a randomization approach that is simple, efficient, and numerically stable and does not require numerical integration. I discuss approximating arbitrary interrenewal distributions by phase-type distributions so that the procedure can be used to approximate renewal and related functions.

Keywords

Markov chains,Renewal process,Statistics


Browse QIC Articles Chronologically:     Previous Article     Next Article

New Search

Featured advertisers





ASQ is a global community of people passionate about quality, who use the tools, their ideas and expertise to make our world work better. ASQ: The Global Voice of Quality.