A refined EM algorithm for PH distributions

@article{Okamura2011ARE,
  title={A refined EM algorithm for PH distributions},
  author={Hiroyuki Okamura and Tadashi Dohi and Kishor S. Trivedi},
  journal={Perform. Eval.},
  year={2011},
  volume={68},
  pages={938-954}
}
This paper proposes an improved computation method of maximum likelihood (ML) estimation for phase-type (PH) distributions with a number of phases. We focus on the EM (expectation-maximization) algorithm proposed by Asmussen et al. [27] and refine it in terms of time complexity. Two ideas behind our method are a uniformizationbased procedure for computing a convolution integral of the matrix exponential and an improvement of the forward–backward algorithmusing time intervals. Comparedwith the… CONTINUE READING
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