Fitting Phase-type Distributions via the EM Algorithm
Ren Asmussen, Olle Nerman, Marita Olsson · Scandinavian Journal of Statistics · 1996
Estimation from sample data and density approximation with phase-type distribu- tions are considered. Maximum likelihood estimation via the EM algorithm is discussed and performed for some data sets. An extended EM algorithm is used to minimize the information divergence (maximize the relative entropy) in the density approximation case. Fits to Weibull, log normal, and Erlang distributions are used as illustrations of the latter.