Lancaster EPrints

A second order approximation to the log-likelihood surface for mixture models, with application to the EM algorithm.

Fearnhead, P. (2004) A second order approximation to the log-likelihood surface for mixture models, with application to the EM algorithm. Journal of Computational & Graphical Statistics, 13 (3). pp. 739-750.

Full text not available from this repository.

Abstract

This article considers a new approximation to the log-likelihood surface in mixture models. This approximation is based on both the mean and variance of the full-data loglikelihood over imputations of assignments of observations to components. This approximation is accurate to second order, and holds for general missing data problems. The approximation provides a new method for calculating the observed information using the EM algorithm, and motivates a Gauss-Newton method for finding the MLE. This GaussNewton method is implemented together with the ideas behind the SAGE algorithm. The resulting algorithm outperforms the EM, CEMM, and a further Gauss-Newton algorithm when analyzing data from three-component Gaussian mixtures.

Item Type: Article
Journal or Publication Title: Journal of Computational & Graphical Statistics
Uncontrolled Keywords: CEMM ; GAUSS-NEWTON ; OBSERVED INFORMATION ; SAGE
Subjects: Q Science > QA Mathematics
Departments: Faculty of Science and Technology > Mathematics and Statistics
ID Code: 9404
Deposited By: Mrs Yaling Zhang
Deposited On: 18 Jun 2008 16:49
Refereed?: Yes
Published?: Published
Last Modified: 09 Oct 2013 15:42
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/9404

Actions (login required)

View Item