A stable estimator of the information matrix under EM for dependent data
Abstract
This article develops a new and stable estimator for information matrix when the EM algorithm is used in maximum likelihood estimation. This estimator is constructed using the smoothed individual complete-data scores that are readily available from running the EM algorithm. The method works for dependent data sets and when the expectation step is an irregular function of the conditioning parameters. In comparison to the approach of Louis (J. R....
Paper Details
Title
A stable estimator of the information matrix under EM for dependent data
Published Date
Sep 16, 2009
Journal
Volume
21
Issue
1
Pages
83 - 91
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