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ECM-algorithms that converge at the rate of EM

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Abstract

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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  • Joe Sexton & Anders Rygh Swensen, 1999. "ECM-algorithms that converge at the rate of EM," Discussion Papers 244, Statistics Norway, Research Department.
  • Handle: RePEc:ssb:dispap:244
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    File URL: https://www.ssb.no/a/publikasjoner/pdf/DP/dp244.pdf
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    1. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
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    Keywords

    EM algorithm; ECM algorithm; ECME algorithm; missing data; conjugate directions algorithm; orthogonal parameters; rate of convergence.;

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models

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