ECM-algorithms that converge at the rate of EM

Joe Sexton and Anders Rygh Swensen ()
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Anders Rygh Swensen: Statistics Norway, https://www.ssb.no/en/forskning/ansatte

Discussion Papers from Statistics Norway, Research Department

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.

Keywords: EM algorithm; ECM algorithm; ECME algorithm; missing data; conjugate directions algorithm; orthogonal parameters; rate of convergence. (search for similar items in EconPapers)
JEL-codes: C24 C63 (search for similar items in EconPapers)
Date: 1999-01
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Persistent link: https://EconPapers.repec.org/RePEc:ssb:dispap:244

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