Parameter expansion and efficient inference

DOI10.1214/10-STS348zbMATH Open1329.62283arXiv1104.2407OpenAlexW3103952570MaRDI QIDQ906525FDOQ906525

Authors: Andrew Lewandowski, Chuanhai Liu, Scott Vander Wiel 

Publication date: 22 January 2016

Published in: Statistical Science (Search for Journal in Brave)

Abstract: This EM review article focuses on parameter expansion, a simple technique introduced in the PX-EM algorithm to make EM converge faster while maintaining its simplicity and stability. The primary objective concerns the connection between parameter expansion and efficient inference. It reviews the statistical interpretation of the PX-EM algorithm, in terms of efficient inference via bias reduction, and further unfolds the PX-EM mystery by looking at PX-EM from different perspectives. In addition, it briefly discusses potential applications of parameter expansion to statistical inference and the broader impact of statistical thinking on understanding and developing other iterative optimization algorithms.

Full work available at URL: https://arxiv.org/abs/1104.2407

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zbMATH Keywords

EM algorithmnonidentifiabilityPX-EM algorithmrobit regression

Mathematics Subject Classification ID

Point estimation (62F10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

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Cited In (2)

• Linearly preconditioned nonlinear conjugate gradient acceleration of the PX-EM algorithm
• Is EM really necessary here? Examples where it seems simpler not to use EM

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