Direct Calculation of the Variance of Maximum Penalized Likelihood Estimates via EM Algorithm.

The variance of the maximum penalized likelihood estimate obtained through the EM algorithm has not been explored in detail. We provide a simple and intuitive new representation for the variance that can be computed from the EM algorithm directly. For pedagogical purposes, we illustrate the new form...

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Detalles Bibliográficos
Publicado en:	American Statistician Vol. 68; no. 2; pp. 93 - 98
Autores principales:	Lee, Woojoo, Pawitan, Yudi
Formato:	Artículo
Publicado:	Taylor & Francis Ltd May2014
Materias:	Maximum likelihood statistics Expectation-maximization algorithms Newton-Raphson method Derivatives (Mathematics) Multinomial distribution
Acceso en línea:	Ver este registro en EBSCOhost

Descripción
Sumario:	The variance of the maximum penalized likelihood estimate obtained through the EM algorithm has not been explored in detail. We provide a simple and intuitive new representation for the variance that can be computed from the EM algorithm directly. For pedagogical purposes, we illustrate the new formula with two examples where analytical solutions are possible.