Computing the moments of order statistics from nonidentically distributed phase-type random variables

  • Authors:

  • Xuan Zhang;Zhenting Hou

  • Affiliations:

  • -;-

  • Venue:
  • Journal of Computational and Applied Mathematics
  • Year:
  • 2011

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Abstract

In this paper, we derive a recurrence relation for the single moments of order statistics (o.s.) arising from n independent nonidentically distributed phase-type (PH) random variables (r.v.'s). This recurrence relation will enable one to compute all single moments of all o.s. in a simple recursive manner.