Albrecher, Hansjörg; Bladt, Martin; Müller, Alaric J. A. - In: Statistics & Risk Modeling 39 (2022) 3-4, pp. 75-92
Abstract Phase-type distributions are dense in the class of distributions on the positive real line, and their flexibility and closed-form formulas in terms of matrix calculus allow fitting models to data in various application areas.
However, the parameters are in general non-identifiable, and...