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On a Construction of Stationary Processes via Bilateral Matrix-Exponential Distributions

  • Luz Judith R. EsparzaEmail author
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 301)

Abstract

In this paper, we consider a construction of Markov processes with invariant Bilateral Matrix-Exponential distributions. These distributions have support on the entire real line and have rational moment-generating functions, features of importance in the area of stochastic models. The approach taken is based on a latent representation of the corresponding transition probabilities. The structure of the construction goes from the particular to the general: first, we consider Erlang and Gamma distributions, and later we consider Matrix-Exponential distributions. We include a simulation study.

Keywords

Bilateral matrix Markov process 

Notes

Acknowledgements

The author gratefully acknowledges the support of a CONACyT postdoctoral fellowship at IIMAS that gave origin to the present work.

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Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  1. 1.Cátedra CONACyTUniversidad Autónoma ChapingoTexcocoMexico

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