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

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  • Woojoo Lee
  • Yudi Pawitan

Abstract

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.

Suggested Citation

  • Woojoo Lee & Yudi Pawitan, 2014. "Direct Calculation of the Variance of Maximum Penalized Likelihood Estimates via EM Algorithm," The American Statistician, Taylor & Francis Journals, vol. 68(2), pages 93-97, May.
    • Handle: RePEc:taf:amstat:v:68:y:2014:i:2:p:93-97
    DOI: 10.1080/00031305.2014.899273
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    References listed on IDEAS

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    1. Samuli Ripatti & Juni Palmgren, 2000. "Estimation of Multivariate Frailty Models Using Penalized Partial Likelihood," Biometrics, The International Biometric Society, vol. 56(4), pages 1016-1022, December.
    2. Ruppert,David & Wand,M. P. & Carroll,R. J., 2003. "Semiparametric Regression," Cambridge Books, Cambridge University Press, number 9780521785167.
    3. Ruppert,David & Wand,M. P. & Carroll,R. J., 2003. "Semiparametric Regression," Cambridge Books, Cambridge University Press, number 9780521780506.
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    Cited by:

    1. Iain L. MacDonald, 2021. "Is EM really necessary here? Examples where it seems simpler not to use EM," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 105(4), pages 629-647, December.
    2. Kang, Xiaoning & Kang, Lulu & Chen, Wei & Deng, Xinwei, 2022. "A generative approach to modeling data with quantitative and qualitative responses," Journal of Multivariate Analysis, Elsevier, vol. 190(C).
    3. Iain L. MacDonald & Brendon M. Lapham, 2016. "Even More Direct Calculation of the Variance of a Maximum Penalized-Likelihood Estimator," The American Statistician, Taylor & Francis Journals, vol. 70(1), pages 114-118, February.

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