A phase-type distribution is a probability distribution that results from a system of one or more inter-related Poisson processes 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 a Markov process with one absorbing state. Each of the states of the Markov process represents one of the phases.
It has a discrete time equivalent the discrete phase-type distribution.
The set of phase-type distributions is dense in the field of all positive-valued distributions, that is, it can be used to approximate any positive valued distribution.