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Discrete phase-type distribution

From Wikipedia, the free encyclopedia

The discrete phase-type distribution is a probability distribution that results from a system of one or more inter-related geometric distributions occurring in sequence, or phases. The sequence in which each of the phases occur may itself be a stochastic process. The distribution can be represented by a random variable describing the time until absorption of an absorbing Markov chain with one absorbing state. Each of the states of the Markov chain represents one of the phases.

It has continuous time equivalent in the phase-type distribution.

Definition

A terminating Markov chain is a Markov chain where all states are transient, except one which is absorbing. Reordering the states, the transition probability matrix of a terminating Markov chain with transient states is

where is a matrix and . The transition matrix is characterized entirely by its upper-left block .

Definition. A distribution on is a discrete phase-type distribution if it is the distribution of the first passage time to the absorbing state of a terminating Markov chain with finitely many states.

Characterization

Fix a terminating Markov chain. Denote the upper-left block of its transition matrix and the initial distribution. The distribution of the first time to the absorbing state is denoted or .

Its cumulative distribution function is

for , and its density function is

for . It is assumed the probability of process starting in the absorbing state is zero. The factorial moments of the distribution function are given by,

where is the appropriate dimension identity matrix.

Special cases

Just as the continuous time distribution is a generalisation of the exponential distribution, the discrete time distribution is a generalisation of the geometric distribution, for example:

See also

References

  • M. F. Neuts. Matrix-Geometric Solutions in Stochastic Models: an Algorithmic Approach, Chapter 2: Probability Distributions of Phase Type; Dover Publications Inc., 1981.
  • G. Latouche, V. Ramaswami. Introduction to Matrix Analytic Methods in Stochastic Modelling, 1st edition. Chapter 2: PH Distributions; ASA SIAM, 1999.
This page was last edited on 3 November 2019, at 19:41
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