Abstract:Heavy-tailed phase-type random variables have mathematically tractable distributions and are conceptually attractive to model physical phenomena due to their interpretation in terms of a hidden Markov structure. Three recent extensions of regular phase-type distributions give rise to models which allow for heavy tails: discrete-or continuous-scaling; fractional-time semi-Markov extensions; and inhomogeneous time-change of the underlying Markov process. In this paper, we present a unifying theory for heavy-tail… Show more
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