Convergence Behavior of the em algorithm for the multivariate t -distribution

DOI10.1080/03610929508831664zbMath0875.62222OpenAlexW1990535478MaRDI QIDQ4337119

John T. Kent, Olcay Arslan, Patrick D. L. Constable

Publication date: 19 May 1997

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929508831664

zbMATH Keywords

robustnessEM algorithmconvergence ratemultivariate \(t\)-distributioniterative reweighting algorithm

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Probabilistic methods, stochastic differential equations (65C99)

Related Items (9)

The use of a common location measure in the invariant coordinate selection and projection pursuit ⋮ On the robustness properties for maximum likelihood estimators of parameters in exponential power and generalized T distributions* ⋮ Characterizations of the maximum likelihood estimator of the Cauchy distribution ⋮ New algorithms for \(M\)-estimation of multivariate scatter and location ⋮ Convergence behavior of an iterative reweighting algorithm to compute multivariate M-estimates for location and scatter ⋮ Doubly reweighted estimators for the parameters of the multivariate t-distribution ⋮ Differentiability of \(t\)-functionals of location and scatter ⋮ \(M\)-functionals of multivariate scatter ⋮ A note on the maximum likelihoood estimators for the location and scatter parameters of a multivariate cauchy distribution

Cites Work

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• On the convergence properties of the EM algorithm
• Redescending \(M\)-estimates of multivariate location and scatter
• Robust m-estimators of multivariate location and scatter
• Mixture Densities, Maximum Likelihood and the EM Algorithm
• Radial estimates and the test for sphericity
• Maximum Likelihood Computations with Repeated Measures: Application of the EM Algorithm
• A curious likelihood identity for the multivariate t-distribution

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