3 citations · 4 across the 3 of their papers we have counts for
10 papers
Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
Mogens Bladt, Jevgenijs Ivanovs
There is an abundance of useful fluctuation identities for one-sided Lévy processes observed up to an independent exponentially distributed time horizon. We show that all the funda…
Multivariate phase-type theory for the site frequency spectrum
Asger Hobolth, Mogens Bladt, Lars Nørvang Andersen
Linear functions of the site frequency spectrum (SFS) play a major role for understanding and investigating genetic diversity. Estimators of the mutation rate (e.g. based on the to…
Fitting inhomogeneous phase-type distributions to data: the univariate and the multivariate case
Hansjoerg Albrecher, Mogens Bladt, Jorge Yslas
The class of inhomogeneous phase-type distributions (IPH) was recently introduced in Albrecher and Bladt (2019) as an extension of the classical phase-type (PH) distributions. Like…
Multivariate fractional phase--type distributions
Hansjoerg Albrecher, Martin Bladt, Mogens Bladt
We extend the Kulkarni class of multivariate phase--type distributions in a natural time--fractional way to construct a new class of multivariate distributions with heavy-tailed Mi…
Multivariate Matrix Mittag--Leffler distributions
Hansjoerg Albrecher, Martin Bladt, Mogens Bladt
We extend the construction principle of multivariate phase-type distributions to establish an analytically tractable class of heavy-tailed multivariate random variables whose margi…
Matrix Mittag--Leffler distributions and modeling heavy-tailed risks
Hansjoerg Albrecher, Martin Bladt, Mogens Bladt
In this paper we define the class of matrix Mittag-Leffler distributions and study some of its properties. We show that it can be interpreted as a particular case of an inhomogeneo…