On the canonical representation of phase type distributions

  • Authors:
  • Gábor Horváth;Miklós Telek

  • Affiliations:
  • Department of Telecommunications, Budapest University of Technology and Economics, H-1521 Budapest, Hungary;Department of Telecommunications, Budapest University of Technology and Economics, H-1521 Budapest, Hungary

  • Venue:
  • Performance Evaluation
  • Year:
  • 2009

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Abstract

The characterization and the canonical representation of order-n phase type distributions (PH(n)) is an open research problem. This problem is solved for n=2, since the equivalence of the acyclic and the general PH distributions has been proven for a long time. However, no canonical representations have been introduced for the general PH distribution class so far for n2. In this paper, we summarize the related results for n=3. Starting from these results we provide a canonical representation of the PH(3) class (that is a minimal representation, too) and present a symbolical transformation procedure to obtain the canonical representation based on any (not only Markovian) vector-matrix representation of the distribution. We show that-using the same approach-no symbolical results can be derived for the order-4 PH distributions, thus probably the PH(3) class is the highest order PH class for which a symbolical canonical transformation exists. Using the transformation method to canonical form for PH(3) we numerically evaluate the moment bounds of the PH(3) distribution set, compare it to the order-3 acyclic PH distribution (APH(3)) class, and present other possible applications of the canonical form.