mapfit (version 1.0.0)

phfit.3mom: PH fitting with three moments

Description

Estimates PH parameters from three moments.

Usage

phfit.3mom(
  m1,
  m2,
  m3,
  method = c("Osogami06", "Bobbio05"),
  max.phase = 50,
  epsilon = sqrt(.Machine$double.eps)
)

Value

An object of GPH.

Arguments

m1

A value of the first moment.

m2

A value of the second moment.

m3

A value of the third moment.

method

The name of moment matching method.

max.phase

An integer for the maximum number of phases in the method "Osogami06".

epsilon

A value of precision in the method "Osogami06".

References

Osogami, T. and Harchol-Balter, M. (2006) Closed Form Solutions for Mapping General Distributions to Minimal PH Distributions. Performance Evaluation, 63(6), 524--552.

Bobbio, A., Horvath, A. and Telek, M. (2005) Matching Three Moments with Minimal Acyclic Phase Type Distributions. Stochastic Models, 21(2-3), 303--326.

Examples

## Three moment matching
## Moments of Weibull(shape=2, scale=1); (0.886227, 1.0, 1.32934)
(result1 <- phfit.3mom(0.886227, 1.0, 1.32934))

## Three moment matching
## Moments of Weibull(shape=2, scale=1); (0.886227, 1.0, 1.32934)
(result2 <- phfit.3mom(0.886227, 1.0, 1.32934, method="Bobbio05"))

## mean
ph.mean(result1)
ph.mean(result2)

## variance
ph.var(result1)
ph.var(result2)

## up to 5 moments 
ph.moment(5, result1)
ph.moment(5, result2)