[R] Question about lme and AR(1)

[Thomas Lumley]

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

Thomas Lumley			Assoc. Professor, Biostatistics
tlumley at u.washington.edu	University of Washington, Seattle