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Article: On recursive estimation in incomplete data models
Title | On recursive estimation in incomplete data models |
---|---|
Authors | |
Keywords | EM algorithm Incomplete data Mixtures Recursive estimation Stochastic algorithm |
Issue Date | 2000 |
Publisher | Taylor & 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? |
Abstract | We 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 Identifier | http://hdl.handle.net/10722/132631 |
ISSN | 2023 Impact Factor: 1.2 2023 SCImago Journal Rankings: 0.427 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Yao, JF | en_HK |
dc.date.accessioned | 2011-03-28T09:27:07Z | - |
dc.date.available | 2011-03-28T09:27:07Z | - |
dc.date.issued | 2000 | en_HK |
dc.identifier.citation | Statistics, 2000, v. 34 n. 1, p. 27-51 | en_HK |
dc.identifier.issn | 0233-1888 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/132631 | - |
dc.description.abstract | We 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.language | eng | en_US |
dc.publisher | Taylor & Francis Ltd. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/02331888.asp | en_HK |
dc.relation.ispartof | Statistics | en_HK |
dc.subject | EM algorithm | en_HK |
dc.subject | Incomplete data | en_HK |
dc.subject | Mixtures | en_HK |
dc.subject | Recursive estimation | en_HK |
dc.subject | Stochastic algorithm | en_HK |
dc.title | On recursive estimation in incomplete data models | en_HK |
dc.type | Article | en_HK |
dc.identifier.email | Yao, JF: jeffyao@hku.hk | en_HK |
dc.identifier.authority | Yao, JF=rp01473 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.scopus | eid_2-s2.0-0346107471 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-0346107471&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 34 | en_HK |
dc.identifier.issue | 1 | en_HK |
dc.identifier.spage | 27 | en_HK |
dc.identifier.epage | 51 | en_HK |
dc.identifier.isi | WOS:000085411000002 | - |
dc.publisher.place | United Kingdom | en_HK |
dc.identifier.scopusauthorid | Yao, JF=7403503451 | en_HK |
dc.identifier.issnl | 0233-1888 | - |