Phase-type distributions and the structure of finite Markov chains (Q1801859): Difference between revisions
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Latest revision as of 17:27, 17 May 2024
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English | Phase-type distributions and the structure of finite Markov chains |
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Phase-type distributions and the structure of finite Markov chains (English)
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5 January 1994
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The distribution of any first passage time in a finite-state Markov chain is said to be of phase-type. In some previous papers O'Cinneide and the author have shown how from any distribution of phase-type one may construct a Markov chain (a set of states and a transition matrix) giving rise to it. Also, an algorithm for the solution of this inverse problem was given by the author, and applied to a typical class of phase-type distributions. In this paper the author observes that the algorithm has an unusual property, which may be of interest to implementors and stochastic modellers: the constructed Markov chain always has a rather special structure. The significance of the following theorem for stochastic modelling is emphasized: Theorem (4.1). All phase-type distributions have Markov chain representations of height at most 2.
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finite-state Markov chain
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phase-type distributions
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Markov chain representations
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