Phase-type distribution

最新推荐文章于 2022-07-31 05:04:00 发布

Anne033

最新推荐文章于 2022-07-31 05:04:00 发布

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分类专栏： Game theory

原文链接：https://en.wikipedia.org/wiki/Phase-type_distribution#Special_cases

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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 occur 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.

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1. Definition

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2. Characterization

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3. Special cases

The following probability distributions are all considered special cases of a continuous phase-type distribution:

Degenerate distribution, point mass at zero or the empty phase-type distribution – 0 phases.
Exponential distribution – 1 phase.
Erlang distribution – 2 or more identical phases in sequence.
Deterministic distribution (or constant) – The limiting case of an - Erlang distribution, as the number of phases become infinite, while the time in each state becomes zero.
Coxian distribution – 2 or more (not necessarily identical) phases in sequence, with a probability of transitioning to the terminating/absorbing state after each phase.
Hyperexponential distribution (also called a mixture of exponential) – 2 or more non-identical phases, that each have a probability of occurring in a mutually exclusive, or parallel, manner. (Note: The exponential distribution is the degenerate situation when all the parallel phases are identical.)
Hypoexponential distribution – 2 or more phases in sequence, can be non-identical or a mixture of identical and non-identical phases, generalises the Erlang.

As the phase-type distribution is dense in the field of all positive-valued distributions, we can represent any positive valued distribution. However, the phase-type is a light-tailed or platykurtic distribution. So the representation of heavy-tailed or leptokurtic distribution by phase type is an approximation, even if the precision of the approximation can be as good as we want.

https://en.wikipedia.org/wiki/Phase-type_distribution