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Bounds on the Mean and Squared Coefficient of Variation of Phase-Type Distributions

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No logo availableBanff International Research Station (BIRS) for Mathematical Innovation and Discovery
 He, Qi-Ming

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Bounds on the Mean and Squared Coefficient of Variation of Phase-Type Distributions
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12
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CC Attribution - NonCommercial - NoDerivatives 4.0 International:
You are free to use, copy, distribute and transmit the work or content in unchanged form for any legal and non-commercial purpose as long as the work is attributed to the author in the manner specified by the author or licensor.
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We consider a class of phase-type distributions, to be called the MMPP class of PH-distributions, and find bounds of their mean and squared coefficient of variation (SCV). As an application, we have shown that the SCV of the event- stationary inter-event time of Markov modulated Poisson processes (MMPPs) is greater than or equal to unity, which answers an open problem about MMPPs.