On the canonical representation of phase type distributions

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 n > 2. 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) vectormatrix 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 order3 acyclic PH distribution (APH(3)) class, and present other possible applications of the canonical form. Email address: {ghorvath,telek}@hit.bme.hu (Gábor Horváth and Miklós Telek). 1 This work is partially supported by the Italian-Hungarian R&D project 9/2003 and by the OTKA K61709 grant. 2 This paper is an extended version of [1]. Preprint submitted to Elsevier 21 November 2008