Enhanced Expectation-Maximization Algorithm for Pure Variance Structural Time Series Models
Lopez-Martinez F. Javier · 2014
Despite some practical advantages of the EM algorithm, its use in the context of structural time series models has been limited due to the observed slow convergence. We propose an enhancement of the algorithm by incorporating information from derivative terms that are null in the original design. Simulation experiments show a notable improvement in the convergence of the algorithm, while keeping parameter estimates