Characterization of phase-type distributions

Abstract

A distribution with rational Laplace-Stieltjes transform is of phase type if and only if it is either the point mass at zero, or it has a continuous positive density on the positive reals and its Laplace-Stieltjes transform has a unique pole of maximal real part (which is therefore real). This result is proved, and the corresponding characterization of discrete phase-type distributions is stated and proved. Our methods are based on a geometric property of the set of phase-type distributions associated with a Markov chain.