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Monotonicity properties of the Monte Carlo EM algorithm and connections with simulated likelihood

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Papaspiliopoulos, Omiros and Sermaidis, Giorgos (2007) Monotonicity properties of the Monte Carlo EM algorithm and connections with simulated likelihood. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. (Working papers).

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Abstract

In this note we show that the Monte Carlo EM algorithm, appropriately constructed with importance re-weighting, monotonically increases a corresponding simulated likelihood. This is result is formally proved but also intuitively explained by a formulation of the problem using auxiliary variables.

Item Type: Working or Discussion Paper (Working Paper)
Subjects: Q Science > QA Mathematics
Divisions: Faculty of Science > Statistics
Library of Congress Subject Headings (LCSH): Distribution (Probability theory), Monte Carlo method, Monotonic functions, Missing observations (Statistics)
Series Name: Working papers
Publisher: University of Warwick. Centre for Research in Statistical Methodology
Place of Publication: Coventry
Official Date: 2007
Volume: Vol.2007
Number: No.24
Number of Pages: 5
Status: Not Peer Reviewed
Access rights to Published version: Open Access
Funder: Greek State Scholarships Foundation (IKY)
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URI: http://wrap.warwick.ac.uk/id/eprint/35557

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