Constructing Matrix Exponential Distributions by Moments and Behavior around Zero

Abstract EN

This paper deals with moment matching of matrix exponential (ME) distributions used to approximate general probability density functions (pdf).

A simple and elegant approach to this problem is applying Padé approximation to the moment generating function of the ME distribution.

This approach may, however, fail if the resulting ME function is not a proper probability density function; that is, it assumes negative values.

As there is no known, numerically stable method to check the nonnegativity of general ME functions, the applicability of Padé approximation is limited to low-order ME distributions or special cases.

In this paper, we show that the Padé approximation can be extended to capture the behavior of the original pdf around zero and this can help to avoid representations with negative values and to have a better approximation of the shape of the original pdf.

We show that there exist cases when this extension leads to ME function whose nonnegativity can be verified, while the classical approach results in improper pdf.

We apply the ME distributions resulting from the proposed approach in stochastic models and show that they can yield more accurate results.