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
Authors:	Sexton, Joe ; Swensen, Anders Rygh
Publisher:	Oslo : Statistics Norway, Research Department
Subject:	EM algorithm \| ECM algorithm \| ECME algorithm \| missing data \| conjugate directions algorithm \| orthogonal parameters \| rate of convergence.

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Series:	Discussion Papers ; 244
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	hdl:10419/192227 [Handle] RePEc:ssb:dispap:244 [RePEc]
Classification:	C63 - Computational Techniques ; C24 - Truncated and Censored Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10011968015