CONVERGENCE BEHAVIOR OF THE EM ALGORITHM FOR THE MULTIVARIATE T-DISTRIBUTION

ARSLAN O., CONSTABLE P., KENT J.

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, cilt.24, sa.12, ss.2981-3000, 1995 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 24 Sayı: 12
  • Basım Tarihi: 1995
  • Doi Numarası: 10.1080/03610929508831664
  • Dergi Adı: COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.2981-3000
  • Anahtar Kelimeler: CONVERGENCE RATE, EM ALGORITHM, ITERATIVE REWEIGHTING ALGORITHM, MULTIVARIATE T-DISTRIBUTION, ROBUSTNESS, MAXIMUM-LIKELIHOOD, LOCATION, SCATTER
  • Ankara Üniversitesi Adresli: Hayır

Özet

Iterative reweighting (IR) is a popular method for computing M-estimates of location and scatter in multivariate robust estimation. When the objective function comes from a scale mixture of normal distributions the iterative reweighting algorithm can be identified as an EM algorithm. The purpose of this paper is to show that in the special case of the multivariate t-distribution, substantial improvements to the convergence rate can be obtained by modifying the EM algorithm.