PhaseType {actuar}R Documentation

The Phase-type Distribution


Density, distribution function, random generation, raw moments and moment generating function for the (continuous) Phase-type distribution with parameters prob and rates.


dphtype(x, prob, rates, log = FALSE)
pphtype(q, prob, rates, lower.tail = TRUE, log.p = FALSE)
rphtype(n, prob, rates)
mphtype(order, prob, rates)
mgfphtype(t, prob, rates, log = FALSE)


x, q

vector of quantiles.


number of observations. If length(n) > 1, the length is taken to be the number required.


vector of initial probabilities for each of the transient states of the underlying Markov chain. The initial probability of the absorbing state is 1 - sum(prob).


square matrix of the rates of transition among the states of the underlying Markov chain.

log, log.p

logical; if TRUE, probabilities/densities p are returned as log(p).


logical; if TRUE (default), probabilities are P[X <= x], otherwise, P[X > x].


order of the moment.


numeric vector.


The phase-type distribution with parameters prob = pi and rates = T has density:

f(x) = pi %*% exp(T * x) %*% t

for x ≥ 0 and f(0) = 1 - pi %*% e, where e is a column vector with all components equal to one, t = -T %*% e is the exit rates vector and exp(T * x) denotes the matrix exponential of T * x. The matrix exponential of a matrix M is defined as the Taylor series

exp(M) = sum(n = 0:Inf; (M^n)/(n!)).

The parameters of the distribution must satisfy pi %*% e <= 1, T[i, i] < 0, T[i, j] >= 0 and T %*% e <= 0.

The kth raw moment of the random variable X is E[X^k] and the moment generating function is E[e^{tX}].


dphasetype gives the density, pphasetype gives the distribution function, rphasetype generates random deviates, mphasetype gives the kth raw moment, and mgfphasetype gives the moment generating function in x.

Invalid arguments will result in return value NaN, with a warning.


The "distributions" package vignette provides the interrelations between the continuous size distributions in actuar and the complete formulas underlying the above functions.


Vincent Goulet and Christophe Dutang


Neuts, M. F. (1981), Generating random variates from a distribution of phase type, WSC '81: Proceedings of the 13th conference on Winter simulation, IEEE Press.


## Erlang(3, 2) distribution
T <- cbind(c(-2, 0, 0), c(2, -2, 0), c(0, 2, -2))
pi <- c(1,0,0)
x <- 0:10

dphtype(x, pi, T)		# density
dgamma(x, 3, 2)			# same
pphtype(x, pi, T)		# cdf
pgamma(x, 3, 2)			# same

rphtype(10, pi, T)		# random values

mphtype(1, pi, T)		# expected value

curve(mgfphtype(x, pi, T), from = -10, to = 1)

[Package actuar version 3.1-4 Index]