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Bounds on the mean and squared coefficient of variation of phase-type distributions
Published online by Cambridge University Press: 22 November 2021
Abstract
We consider a class of phase-type distributions (PH-distributions), to be called the MMPP class of PH-distributions, and find bounds of their mean and squared coefficient of variation (SCV). As an application, we have shown that the SCV of the event-stationary inter-event time for Markov modulated Poisson processes (MMPPs) is greater than or equal to unity, which answers an open problem for MMPPs. The results are useful for selecting proper PH-distributions and counting processes in stochastic modeling.
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- © The Author(s), 2021. Published by Cambridge University Press on behalf of Applied Probability Trust