Direct Calculation of the Variance of Maximum Penalized Likelihood Estimates via EM Algorithm

The variance of the maximum penalized likelihood estimate obtained through the EM algorithm has not been explored in detail. We provide a simple and intuitive new representation for the variance that can be computed from the EM algorithm directly. For pedagogical purposes, we illustrate the new formula with two examples where analytical solutions are possible.

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Year of publication:	2014
Authors:	Lee, Woojoo ; Pawitan, Yudi
Published in:	The American Statistician. - Taylor & Francis Journals, ISSN 0003-1305. - Vol. 68.2014, 2, p. 93-97
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010823729