Phase-type distributions and the structure of finite Markov chains

Robert S. Maier
1993 Journal of Computational and Applied Mathematics  
Maier, R.S., Phase-type distributions and the structure of finite Markov chains, Journal of Computational and Applied Mathematics 46 (1993) 449-453. We show that all discrete phase-type distributions arise as first passage times (i.e., absorption times) in finite-state Markov chains with a certain recursive internal structure. This arises from the special properties of an automata-theoretic algorithm which can be used to solve the inverse problem for phase-type distributions: the construction
more » ... a Markov chain with specified absorption time distribution.
doi:10.1016/0377-0427(93)90040-i fatcat:oap2kiqvkfdndhux663moqgo6q