EM Demystified: An Expectation-Maximization Tutorial
Yihua Chen, Maya R. Gupta · 2010
After a couple of disastrous experiments trying to teach EM, we carefully wrote this tutorial to give you an intuitive and mathematically rigorous understanding of EM and why it works. We explain the standard applications of EM to learning Gaussian mixture models (GMMs) and hidden Markov models (HMMs), and prepare you to apply EM to new problems. This tutorial assumes you have an advanced undergraduate understanding of probability and statistics. 1