Continuous distributions | Types of probability distributions

Phase-type distribution

A phase-type distribution is a probability distribution constructed by a convolution or mixture of exponential distributions. It 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 occurs 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. (Wikipedia).

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