ECM-algorithms that converge at the rate of EM

This paper describes a way of constructing an ECM algorithm such that it converges at the rate of the EM algorithm. The approach is motivated by the well known conjugate directions algorithm, and a special case of it is when the parameters corresponding to different CM steps are orthogonal. Three examples are given illustrating the approach. Possible implications of the theme for the ECME algorithm are briefly discussed.

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Year of publication:	1999-01
Authors:	Sexton, Joe ; Swensen, Anders Rygh
Institutions:	Statistisk Sentralbyrå, Government of Norway
Subject:	EM algorithm \| ECM algorithm \| ECME algorithm \| missing data \| conjugate directions algorithm \| orthogonal parameters \| rate of convergence

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Extent:	application/pdf
Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C63 - Computational Techniques ; C24 - Truncated and Censored Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004980575