Phase-type representations for exponential distributions

Abstract This paper characterizes irreducible phase-type representations for exponential distributions. Bean and Green (2000) gave a set of necessary and sufficient conditions for a phase-type distribution with an irreducible generator matrix to be exponential. We extend these conditions to irreducible representations, and we thus give a characterization of all irreducible phase-type representations for exponential distributions. We consider the results in relation to time-reversal of phase-type distributions, PH-simplicity, and the algebraic degree of a phase-type distribution, and we give applications of the results. In particular we give the conditions under which a Coxian distribution becomes exponential, and we construct bivariate exponential distributions. Finally, we translate the main findings to the discrete case of geometric distributions.