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Article: On recursive estimation in incomplete data models

TitleOn recursive estimation in incomplete data models
Authors
Yao, JF
KeywordsEM algorithm
Incomplete data
Mixtures
Recursive estimation
Stochastic algorithm
Issue Date2000
PublisherTaylor & Francis Ltd. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/02331888.asp
Citation
Statistics, 2000, v. 34 n. 1, p. 27-51 How to Cite?
AbstractWe consider a new recursive algorithm for parameter estimation from an independent incomplete data sequence. The algorithm can be viewed as a recursive version of the well-known EM algorithm, augmented with a Monte-Carlo step which restores the missing data. Based on recent results on stochastic algorithms, we give conditions for the a.s. convergence of the algorithm. Moreover, asymptotical variance of this estimator is reduced by a simple averaging. Application to finite mixtures is given with a simulation experiment.
Persistent Identifierhttp://hdl.handle.net/10722/132631
ISSN
0233-1888
2021 Impact Factor: 2.346
2020 SCImago Journal Rankings: 0.683
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorYao, JFen_HK
dc.date.accessioned2011-03-28T09:27:07Z-
dc.date.available2011-03-28T09:27:07Z-
dc.date.issued2000en_HK
dc.identifier.citationStatistics, 2000, v. 34 n. 1, p. 27-51en_HK
dc.identifier.issn0233-1888en_HK
dc.identifier.urihttp://hdl.handle.net/10722/132631-
dc.description.abstractWe consider a new recursive algorithm for parameter estimation from an independent incomplete data sequence. The algorithm can be viewed as a recursive version of the well-known EM algorithm, augmented with a Monte-Carlo step which restores the missing data. Based on recent results on stochastic algorithms, we give conditions for the a.s. convergence of the algorithm. Moreover, asymptotical variance of this estimator is reduced by a simple averaging. Application to finite mixtures is given with a simulation experiment.en_HK
dc.languageengen_US
dc.publisherTaylor & Francis Ltd. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/02331888.aspen_HK
dc.relation.ispartofStatisticsen_HK
dc.subjectEM algorithmen_HK
dc.subjectIncomplete dataen_HK
dc.subjectMixturesen_HK
dc.subjectRecursive estimationen_HK
dc.subjectStochastic algorithmen_HK
dc.titleOn recursive estimation in incomplete data modelsen_HK
dc.typeArticleen_HK
dc.identifier.emailYao, JF: jeffyao@hku.hken_HK
dc.identifier.authorityYao, JF=rp01473en_HK
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.scopuseid_2-s2.0-0346107471en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0346107471&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume34en_HK
dc.identifier.issue1en_HK
dc.identifier.spage27en_HK
dc.identifier.epage51en_HK
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridYao, JF=7403503451en_HK
dc.identifier.issnl0233-1888-

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