The EM Algorithm and Extensions (Wiley Series in Probability and Statistics)

400 Pages·2008·17.34 MB·English

by  Geoffrey J. McLachlan

The EM Algorithm
and Extensions
Second Edition
Geoffrey J. McLachlan
The University of Queensland
Department of Mathematics and Institute for Molecular Bioscience
St. Lucia, Australia
Thriyambakam Krishnan
Cranes Sofiware International Limited
Bangalore. India
A JOHN WILEY & SONS, INC., PUBLICATION
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The EM Algorithm
and Extensions
WILEY SERIES IN PROBABILITY AND STATISTICS
Established by WALTER A. SHEWHART and SAMUEL S. WILKS
Editors: David J. Balding, Noel A. C. Cressie, Garrett M. Fitzmaurice,
Iain M. Johnstone, Geert Molenberghs, David W. Scott, Adrian F. M. Smith,
Ruey S. Tsay, Sanford Weisberg
Editors Emeriti: Vic Barnett, J. Stuart Hunter, David G. Kendall, Jozef L. Teugels
A complete list of the titles in this series appears at the end of this volume.
The EM Algorithm
and Extensions
Second Edition
Geoffrey J. McLachlan
The University of Queensland
Department of Mathematics and Institute for Molecular Bioscience
St. Lucia, Australia
Thriyambakam Krishnan
Cranes Sofiware International Limited
Bangalore. India
A JOHN WILEY & SONS, INC., PUBLICATION
Copyright 02 008 by John Wiley & Sons, Inc. All rights reserved.
Published by John Wiley & Sons, Inc., Hoboken, New Jersey
Published simultaneously in Canada.
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Library of Congress Cataloging-in-Publieation Data:
McLachlan, Geoffrey J., 1946-
The EM algorithm and extensions / Geoffrey J. McLachlan,
Thriyambakam Krishnan. - 2nd ed.
p. cm.
ISBN 978-0-471-20170-0 (cloth)
I. Expectation-maximization algorithms. 2. Estimation theory. 3.
Missing observations (Statistics) I. Krishnan, T.
(Thriyambakam), 193- 11. Title.
QA276.8.M394 2007
5 19.5'4Uc22 2007017908
Printed in the United States of America
I 0 9 8 7 6 5 4 3 2 1
To
Beryl, Jonathan, and Robbie
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CONTENTS
PREFACE TO THE SECOND EDITION xix
PREFACE TO THE FIRST EDITION xxi
LIST OF EXAMPLES xxv
1 GENERAL INTRODUCTION 1
1.1 Introduction 1
1.2 Maximum Likelihood Estimation 3
1.3 Newton-Type Methods 5
1.3.1 Introduction 5
1.3.2 Newton-Raphson Method 5
1.3.3 Quasi-Newton Methods 6
1.3.4 Modified Newton Methods 6
1.4 Introductory Examples 8
1.4.1 Introduction 8
1.4.2 Example I. 1: A Multinomial Example 8
vii