Please use this identifier to cite or link to this item:
|Title:||A stable estimator of the information matrix under EM for dependent data|
|Authors:||Duan, J.-C. |
|Citation:||Duan, J.-C., Fulop, A. (2011). A stable estimator of the information matrix under EM for dependent data. Statistics and Computing 21 (1) : 83-91. ScholarBank@NUS Repository. https://doi.org/10.1007/s11222-009-9149-4|
|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. Stat. Soc., Ser. B 44:226-233, 1982), this new estimator is more stable and easier to implement. Both real and simulated data are used to demonstrate the use of this new estimator. © 2009 Springer Science+Business Media, LLC.|
|Source Title:||Statistics and Computing|
|Appears in Collections:||Staff Publications|
Show full item record
Files in This Item:
There are no files associated with this item.
checked on Jan 22, 2019
WEB OF SCIENCETM
checked on Jan 14, 2019
checked on Dec 29, 2018
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.