ML estimation of the multivariate t distribution and the EM algorithm

[摘要] Maximum likelihood estimation of the multivariate t distribution, especially with unknown degrees of freedom, has been an interesting topic in the development of the EM algorithm. After a brief review of the EM algorithm and its application to finding the maximum likelihood estimates of the parameters of the t distribution, this paper provides new versions of the ECME algorithm for maximum likelihood estimation of the multivariate t distribution from data with possibly missing values. The results show that the new versions of the ECME algorithm converge faster than the previous procedures. Most important, the idea of this new implementation is quite general and useful for the development of the EM algorithm. Comparisons of different methods based on two datasets are presented. (C) 1997 Academic Press.

[发布日期] 1997-11-01

[关键词] EM;ECM;ECME;incomplete data;Newton-Raphson