Phase-type distributions: open problems and a few properties

Colm Art O'Cinneide

Abstract: A phase-type distribution is the distribution of a killing time in a finite-state Markov chain. The paper describes some conjectures concerning these distributions. Some partial proofs and other evidence are offered in support of the conjectures. Some of the conjectures concern the geometry of the set of phase-type distributions, while others concern the properties of their densities.

Keywords: Phase-type distributions

Acknowledgement: This worked was funded by the Australian Research Council.

The author:

• Colm O'Cinneide, School of Industrial Engineering, Purdue University, West Lafayette, IN 47907-1287, USA

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Last modified: 29th June 2000