Monotonicity properties of the Monte Carlo EM algorithm and connections with simulated likelihood
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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Official URL: http://www2.warwick.ac.uk/fac/sci/statistics/crism...
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|
|Number of Pages:||5|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
|Funder:||Greek State Scholarships Foundation (IKY)|
Beskos, A., Papaspiliopoulos, O. & Roberts, G. O. (2007). Monte Carlo max-
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