Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis
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Cites work
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- Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations
- Expected Length of the Longest Probe Sequence in Hash Code Searching
- Fitting Full-Information Item Factor Models and an Empirical Investigation of Bridge Sampling
- Forward and reverse representations for Markov chains
- Guided proposals for simulating multi-dimensional diffusion bridges
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- Maximum likelihood estimation via the ECM algorithm: A general framework
- Monte Carlo EM Estimation for Time Series Models Involving Counts
- Normal Variance-Mean Mixtures and z Distributions
- On convergence properties of the Monte Carlo EM algorithm
- On the convergence properties of the EM algorithm
- Simple simulation of diffusion bridges with application to likelihood inference for diffusions
- Simulation of conditioned diffusion and application to parameter estimation
- Simulation of forward-reverse stochastic representations for conditional diffusions
- The ECME algorithm: A simple extension of EM and ECM with faster monotone convergence
- Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions
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