Semi-Markov processes

Semi-Markov processes, which are equivalent to Markov renewal processes , are stochastic processes generalizing continuous-time Markov chains (CTMCs). They are Markov (memoryless) with respect to states, but not with respect to time.

Theory

Statistical applications

Software

Matrix-exponential distributions

Phase-type distributions , assembled from mixtures and convolutions of exponential distributions, and their generalization to matrix-exponential distributions , are analytically tractable classes of probability distributions for waiting times. They are building blocks from which semi-Markov processes can be constructed.

Books

  • Neuts, 1981: Matrix-geometric solutions in stochastic models: an algorithmic approach
    • Early reference by a pioneer of phase-type distributions
  • Latouche & Ramaswami, 1999: An introduction to matrix analytic methods in stochastic modeling (doi)
  • Bladt & Nielsen, 2017: Matrix-exponential distributions in applied probability (doi)
    • A good book, encyclopedic but still readable
    • Extensive bibliographic notes at end of book

Theory

  • O’Cinneide, 1990: Characterization of phase-type distributions (doi)
    • Main theorem, according to the abstract: “A distribution with rational Laplace transform is of phase type if and only if it is either the point mass at zero, or it has a continuous positive density on the positive reals and its Laplace transform has a unique pole of maximal real part (which is therefore real).”
    • Main theorem is Theorem 4.7.45 in (Bladt & Nielsen, 2017)

Statistical applications

  • Aalen, 1995: Phase type distributions in survival analysis (jstor )
  • Lindqvist, 2013/2016: Phase-type models for competing risks (doi, pdf)
    • Lindqvist & Kjølen, 2018: Phase-type models and their extension to competing risks (doi)
    • Garcia-Maya, Limnios, Lindqvist, 2021: Competing risks modeling by extended phase-type semi-Markov distributions (doi)