Stochastic EM
Søren Feodor Nielsen · Wiley StatsRef: Statistics Reference Online · 2018
Abstract The expectation maximization (EM) algorithm is a useful tool for finding the maximum likelihood estimator (MLE) in incomplete data problems. In some problems, however, the E step (and/or the M step) of the algorithm may be difficult to implement. Here, the stochastic EM algorithm can provide a useful alternative by replacing the E step of the EM algorithm with a fixed number of simulations, turning the M step into a maximization of the complete data log‐likelihood. The output of the stochastic EM algorithm forms a Markov chain that under sufficient regularity conditions is ergodic with an asymptotically normal invariant distribution. Draws from the invariant distribution form a consistent asymptotically normal estimator of the unknown parameters.