On the Properties of Moments of Matrix Exponential Distributions and Matrix Exponential Processes

In this paper we provide properties of moments of matrix exponential distributions and joint moments of matrix exponential processes. Based on the provided properties, an algorithm is presented to compute any finite dimensional moments of these processes based on a set of required (low order) moments. This algorithm does not require the computation of any representation of the given process. We present some related examples to demonstrate the potential use of the properties of moments.

• Type: Conference
• Year: 2007
• Where: DAGSTUHL
• Authors: Levente Bodrog, András Horváth, Miklós Telek
• Keywords: DAGSTUHL 2007, Matrix Exponential, Matrix Exponential Distributions, Software Engineering, finite Dimensional Moments