Probability Seminar: Jorge Yslas Altamirano - Heavy-tailed phase-type distributions
| Dates: | 18 February 2026 |
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| Times: | 15:00 - 16:00 |
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| What is it: | Seminar |
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| Organiser: | Department of Mathematics |
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Jorge Yslas Altamirano (University of Liverpool) will speak at the Probability seminar.
Title: Heavy-tailed phase-type distributions
Abstract: Heavy-tailed phase-type random variables have mathematically tractable distributions and are conceptually attractive to model physical phenomena due to their interpretation in terms of a hidden Markov structure. Three recent extensions of regular phase-type distributions give rise to models which allow for heavy tails: discrete- or continuous-scaling; fractional-time semi-Markov extensions; and inhomogeneous time-change of the underlying Markov process. In this talk, we present a unifying theory for heavy-tailed phase-type distributions for which all three approaches are particular cases. Our main objective is to provide useful models for modeling heavy tails, but our specification also captures other tail behaviors. Furthermore, we provide two multivariate extensions inspired by the univariate construction, which can be considered a matrix version of a frailty model. Finally, we present fully explicit EM algorithms for the estimation of all models and illustrate their use.
Join work with Martin Bladt (University of Copenhagen)
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Frank Adams 2
Alan Turing Building
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