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On the nature of Phase-Type Poisson distributions

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arxiv 1211.3324 v1 pith:TLYJ4F2O submitted 2012-11-14 math.PR

On the nature of Phase-Type Poisson distributions

classification math.PR
keywords distributionspoissoninterpretationphase-typephysicalalgorithm-basedconstraintconstruct
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Matrix-form Poisson probability distributions were recently introduced as one matrix generalization of Panjer distributions. We show in this paper that under the constraint that their representation is to be nonnegative, they have a physical interpretation as extensions of PH distributions, and we name this restricted family Phase-type Poisson. We use our physical interpretation to construct an EM algorithm-based estimation procedure.

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