Phase-type distributions and majorization (Q806173)

A phase-type distribution (PH) is the distribution of the time to absorption in a finite state \((\{1,2,...,n,n+1\})\) time-homogeneous Markov chain where state \(n+1\) is the absorbing state. The PH- distribution function F can have several representations corresponding to different Markov chains. The order of F is the smallest integer n for which such a representation is possible. A distribution F is said to be majorized by a distribution G if \(\int f dF\leq \int f dG\) for all convex functions f for which the integrals are defined. The author proves that any PH-distribution of order n majorizes the order n Erlang distribution (that is, the distribution of n independent and identically distributed exponential random variables) of the same mean.