Approximation of cumulative distribution functions by Bernstein phase-type distributions

Abstract

The inclusion of generally distributed random variables in stochastic models is often tackled by choosing a parametric family of distributions and applying fitting algorithms to find appropriate parameters. A recent paper proposed the approximation of probability density functions (PDFs) by Bernstein exponentials, which are obtained from Bernstein polynomials by a change of variable and result in a particular case of acyclic phase-type distributions. In this paper, we show that this approximation can also be applied to cumulative distribution functions (CDFs), which enjoys advantageous properties and achieves similar accuracy; by focusing on CDFs, we propose an approach to obtain stochastically ordered approximations. The use of a scaling parameter in the approximation is also presented, evaluating its effect on approximation accuracy.