[R] Question about lme and AR(1)
tlumley at u.washington.edu
Sun Aug 19 17:55:03 CEST 2007
On Sat, 18 Aug 2007, Francisco Redelico wrote:
> Dear R users,
> As far as I know, EM algorithm can be only applied to estimate parameter
> from a regular exponential family.
No. The EM algorithm will converge to a stationary point (and except in
artificial cases, to a local maximum) for any likelihood.
The special case you may be thinking of is that in some problems the
E-step is equivalent to computing E[missing data | observed data] rather
than the more general E[loglikelihood|observed data]
Thomas Lumley Assoc. Professor, Biostatistics
tlumley at u.washington.edu University of Washington, Seattle
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