Scandinavian Working Papers in Economics

Discussion Papers,
Statistics Norway, Research Department

No 244: ECM-algorithms that converge at the rate of EM

Joe Sexton and Anders Rygh Swensen ()
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Anders Rygh Swensen: Statistics Norway

Abstract: This paper describes a way of constructing an ECM algorithm such that it converges at the rate of the EM algorithm. The approach is motivated by the well known conjugate directions algorithm, and a special case of it is when the parameters corresponding to different CM steps are orthogonal. Three examples are given illustrating the approach. Possible implications of the theme for the ECME algorithm are briefly discussed.

Keywords: EM algorithm; ECM algorithm; ECME algorithm; missing data; conjugate directions algorithm; orthogonal parameters; rate of convergence.

JEL-codes: C63; C24 January 1999

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