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The EM Algorithm

  • McLachlan, Geoffrey J.
  • Krishnan, Thriyambakam
  • Ng, See Ket
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    The Expectation-Maximization (EM) algorithm is a broadly applicable approach to the iterative computation of maximum likelihood (ML) estimates, useful in a variety of incomplete-data problems. Maximum likelihood estimation and likelihood-based inference are of central importance in statistical theory and data analysis. Maximum likelihood estimation is a general-purpose method with attractive properties. It is the most-often used estimation technique in the frequentist framework; it is also relevant in the Bayesian framework (Chapter III.11). Often Bayesian solutions are justified with the help of likelihoods and maximum likelihood estimates (MLE), and Bayesian solutions are similar to penalized likelihood estimates. Maximum likelihood estimation is an ubiquitous technique and is used extensively in every area where statistical techniques are used.

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    File URL: http://econstor.eu/bitstream/10419/22198/1/24_tk_gm_skn.pdf
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    Paper provided by Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) in its series Papers with number 2004,24.

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    Date of creation: 2004
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    Handle: RePEc:zbw:caseps:200424
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    1. M. Jamshidian & R. I. Jennrich, 2000. "Standard errors for EM estimation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(2), pages 257-270.
    2. McLachlan, G. J. & Peel, D. & Bean, R. W., 2003. "Modelling high-dimensional data by mixtures of factor analyzers," Computational Statistics & Data Analysis, Elsevier, vol. 41(3-4), pages 379-388, January.
    3. J. G. Booth & J. P. Hobert, 1999. "Maximizing generalized linear mixed model likelihoods with an automated Monte Carlo EM algorithm," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(1), pages 265-285.
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