On Ryde/spl acute/n's EM algorithm for estimating MMPPs
William J. Roberts, Y. Ephraim, E. Dieguez · IEEE Signal Processing Letters · 2006
Two aspects of Ryden's expectation-maximization algorithm for estimating the parameter of a Markov modulated Poisson process are addressed. First, a scaling procedure is developed for the forward-backward recursions that circumvents the need for customized floating-point software. Second, evaluation of integrals of matrix exponentials is facilitated by applying a result due to Van Loan. For an MMPP of order four, a speedup of over two orders of magnitude was observed.