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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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Published in:American Statistician Vol. 68; no. 2; pp. 93 - 98
Main Authors: Lee, Woojoo, Pawitan, Yudi
Format: Article
Published: Taylor & Francis Ltd May2014
Subjects:
Maximum likelihood statistics
Expectation-maximization algorithms
Newton-Raphson method
Derivatives (Mathematics)
Multinomial distribution
Online Access:View this record in EBSCOhost