The convergence rate of the TM algorithm of Edwards & Lauritzen

Rolf Sundberg

Biometrika, 2002, vol. 89, issue 2, 478-483

Abstract: Edwards & Lauritzen (2001) have recently proposed the TM algorithm for finding the maximum likelihood estimate when the likelihood can be truly or artificially regarded as a conditional likelihood, and the full likelihood is more easily maximised. They have presented a proof of convergence, provided that the algorithm is supplemented by a line search. In this note a simple expression, in terms of observed information matrices, is given for the convergence rate of the algorithm per se, when it converges, and the result elucidates also in which situations the algorithm will require a line search. Essentially these are cases when the full model does not adequately fit the data. Copyright Biometrika Trust 2002, Oxford University Press.

Date: 2002
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