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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, Vol.2007 (No.24).
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Official URL: http://www2.warwick.ac.uk/fac/sci/statistics/crism...
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) | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > 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 | ||||
Dates: |
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Volume: | Vol.2007 | ||||
Number: | No.24 | ||||
Number of Pages: | 5 | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Date of first compliant deposit: | 1 August 2016 | ||||
Date of first compliant Open Access: | 1 August 2016 | ||||
Funder: | Greek State Scholarships Foundation (IKY) |
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