[R] finding the MLEs of IG parameters by EM-Alorithm

Sara S sara.24466 at gmail.com
Thu Aug 2 16:01:16 CEST 2012


Dear all

I'm trying to caculate the MLEs for parameters of Inverse Gaussian
distribution (in a k-sample problem with common mean) by using
EM-Algorithm.  I found some package for EM-Algorithm that are useful
for missing or incomplete data and are not helpful for solving my
problem.
(Exactly, the problem is: Let Xij, i=1,..,k , j=1,...,ni, be a random
sample from IG(μ,λi). So the log-likelihood function is:
log(L)=∑(ni/2)*log(λi)-∑∑ (λi/2*(μ^2)*xij)*((xij-μ)^2)+const.
Find the MLEs for (μ,λ1,...,λk) by EM-Algorithm?)

Could you please help me with that?
I would like to thank you in advance for your help.

best regards,
Sara



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