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

DOI10.1080/03610929508831664zbMATH Open0875.62222OpenAlexW1990535478MaRDI QIDQ4337119FDOQ4337119

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

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

Cites Work

• On the convergence properties of the EM algorithm
• Robust m-estimators of multivariate location and scatter
• Mixture Densities, Maximum Likelihood and the EM Algorithm
• Title not available (Why is that?)
• Title not available (Why is that?)
• Radial estimates and the test for sphericity
• A curious likelihood identity for the multivariate t-distribution
• Redescending \(M\)-estimates of multivariate location and scatter
• Maximum Likelihood Computations with Repeated Measures: Application of the EM Algorithm
• Title not available (Why is that?)

Cited In (12)

• New algorithms for \(M\)-estimation of multivariate scatter and location
• ML estimation of the multivariate \(t\) distribution and the EM algorithm
• \(M\)-functionals of multivariate scatter
• Directional distributions and the half-angle principle
• On the robustness properties for maximum likelihood estimators of parameters in exponential power and generalized T distributions*
• Differentiability of \(t\)-functionals of location and scatter
• Doubly reweighted estimators for the parameters of the multivariate t-distribution
• Characterizations of the maximum likelihood estimator of the Cauchy distribution
• Convergence behavior of an iterative reweighting algorithm to compute multivariate M-estimates for location and scatter
• Title not available (Why is that?)
• A note on the maximum likelihoood estimators for the location and scatter parameters of a multivariate cauchy distribution
• The use of a common location measure in the invariant coordinate selection and projection pursuit

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