Approximating Other Distributions
Theoretically, any distribution can be arbitrarily well approximated by a phase type distribution. In practice, however, approximations can be poor when the size of the approximating process is fixed. Approximating a deterministic distribution of time 1 with 10 phases, each of average length 0.1 will have variance 0.1.
- BuTools a MATLAB and Mathematica script for fitting phase-type distributions to 3 specified moments
- momentmatching a MATLAB script to fit a minimal phase-type distribution to 3 specified moments
Read more about this topic: Phase-type Distribution