Phase-type distribution (Term)

Added: 23.03.10 16:12 by: dimas  + add info

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Phase-type distribution

 

 

 

 

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.

 

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Phase-type distribution

 

 

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Stochastic Process

 

 

Relationship description

The sequence in which each of the phases occur may itself be a stochastic process.

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linked by dimas on 23.03.10 and 0 more users

 

Term

 

Phase-type distribution

 

 

Process

 

Markov Process

 

 

Relationship description

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.

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linked by dimas on 23.03.10 and 0 more users

 

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