Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10677707 | Applied Mathematical Modelling | 2015 | 7 Pages |
Abstract
We propose a matrix analysis approach to analytically provide the cumulative distribution function of the sum of independent Erlang random variables. This reduces to the characterization of the exponential of the involved generator matrix. We propose a particular basis of vectors in which we write the generator matrix. We find, in the new basis, a Jordan-Chevalley decomposition allowing to simplify the calculation of the exponential of the generator matrix. This is a simpler alternative approach to the existing ones in the literature.
Related Topics
Physical Sciences and Engineering
Engineering
Computational Mechanics
Authors
Benjamin Legros, Oualid Jouini,