A Constructive Proof of the Phase-Type Characterization Theorem

• DOI: 10.1080/15326349.2015.1012912
• Publication Date: 2015-05-05T19:02:17Z
• Authors: Illés Horváth; Miklós Telek
• Keywords: Characterization; Constructive; Representation theorem; Constructive proof; Representation

The paper presents a new proof of O'Cinneide's characterization theorem.[7 O'Cinneide, C.A. Characterization phase-type distributions. Comm. Stat. Stochastic Models 1990, 6, 1–57.[Taylor & Francis Online] , [Google Scholar]] It is much simpler than the original one and constructive in sense that we not only show existence phase type representation, but present procedure which creates representation. We prove succeeds when conditions theorem hold.