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 and Graphical Statistics, 13 (3). pp. 739-750. ISSN 1537-2715

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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:
Journal Article
Journal or Publication Title:
Journal of Computational and Graphical Statistics
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2600/2607
Subjects:
?? cemmgauss-newtonobserved informationsagediscrete mathematics and combinatoricsstatistics and probabilitystatistics, probability and uncertaintyqa mathematics ??
ID Code:
9404
Deposited By:
Users 810 not found.
Deposited On:
18 Jun 2008 15:49
Refereed?:
Yes
Published?:
Published
Last Modified:
15 Jul 2024 11:39