ESTIMATION OF PHASE-TYPE DISTRIBUTIONS FROM CENSORED-DATA

Authors
OLSSON M
Citation
M. Olsson, ESTIMATION OF PHASE-TYPE DISTRIBUTIONS FROM CENSORED-DATA, Scandinavian journal of statistics, 23(4), 1996, pp. 443-460
Citations number
11
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Scandinavian journal of statistics → ACNP
ISSN journal
03036898
Volume
23
Issue
4
Year of publication
1996
Pages
443 - 460
Database
ISI
SICI code
0303-6898(1996)23:4<443:EOPDFC>2.0.ZU;2-V
Abstract
In this paper a way to estimate the parameters of a phase-type distrib ution of fixed order from censored samples, using the EM algorithm, is presented. Two types of censored data; right censored, and interval ( or doubly) censored observations are considered. The performance of th e algorithm is illustrated with examples of estimated phase-type distr ibutions from both simulated and real data sets.