A refined EM algorithm for PH distributions

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 uniformization-based procedure for computing a convolution integral of the matrix exponential and an improvement of the forward-backward algorithm using time intervals. Compared with the differential-equation-based EM algorithm discussed in Asmussen et al. [27], our approach succeeds in the reduction of computation time for the PH fitting with a moderate to large number of phases. In addition to the improvement of time complexity, this paper discusses how to estimate the canonical form by applying the EM algorithm. In numerical experiments, we examine computation times of the proposed and differential-equation-based EM algorithms. Furthermore, the proposed EM algorithm is also compared with the existing PH fitting methods in terms of computation time and fitting accuracy. (C) 2011 Elsevier B.V. All rights reserved.