McGrory, C.A.; Pettitt, A.N.; Faddy, M.J. - In: Computational Statistics & Data Analysis 53 (2009) 12, pp. 4311-4321
Phase-type distributions represent the time to absorption for a finite state Markov chain in continuous time, generalising the exponential distribution and providing a flexible and useful modelling tool. We present a new reversible jump Markov chain Monte Carlo scheme for performing a fully...