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

DOI10.1080/03610929508831664MaRDI QIDQ4337119zbMATH OpenOpenAlexFDO

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

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

EM algorithmrobustnessmultivariate \(t\)-distributionconvergence rateiterative reweighting algorithm

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(12)

• Doubly reweighted estimators for the parameters of the multivariate \(t\)-distribution
• New algorithms for \(M\)-estimation of multivariate scatter and location
• Differentiability of \(t\)-functionals of location and scatter
• \(M\)-functionals of multivariate scatter
• Directional distributions and the half-angle principle
• ML estimation of the multivariate \(t\) distribution and the EM algorithm
• Characterizations of the maximum likelihood estimator of the Cauchy distribution
• The use of a common location measure in the invariant coordinate selection and projection pursuit
• Convergence behavior of an iterative reweighting algorithm to compute multivariate M-estimates for location and scatter
• scientific article; zbMATH DE number 788228 (Why is no real title available?)
• On the robustness properties for maximum likelihood estimators of parameters in exponential power and generalized T distributions*
• A note on the maximum likelihoood estimators for the location and scatter parameters of a multivariate cauchy distribution

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