Moment Matching Algorithms


Brief description of the algorithms

Input: The input to the algorithm is the first three moments of a non-negative distribution.

Output: The output of the algorithm is the parameters of the phase type (PH) distributions whose first three moments match the input.

Note that the parameters of a PH distribution is usually specified by a vector and a matrix, and the format of our output also follows this convention.

Source code (matlab)

    momentmatching.zip

The above file contains the following set of files:

    README.txt
    matching3PH.m
    matching3EC.m
    matching3PH2.m
    convolutionofPH.m
    mixtureofPH.m
    isPH2.m
    momentofPH.m


Related documents

The basic ideas and algorithms are described in

You may find more variants of algorithms and other related ideas in

Takayuki Osogami
Department of Computer Science
Carnegie Mellon University
5000 Forbes Avenue
Pittsburgh, PA 15213