A hybrid EM/Gauss-Newton algorithm for maximum likelihood in mixture distributions |
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| Authors: | Murray Aitkin Irit Aitkin |
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| Institution: | (1) Department of Mathematics, University of Western Australia, Western Australia, Australia;(2) Department of Statistics, University of Newcastle Upon Tyne, Newcastle Upon Tyne, UK;(3) Department of Epidemiology and Biostatistics, School of Public Health, Curtin University of Technology, Bentley, Western Australia, Australia |
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| Abstract: | A faster alternative to the EM algorithm in finite mixture distributions is described, which alternates EM iterations with Gauss-Newton iterations using the observed information matrix. At the expense of modest additional analytical effort in obtaining the observed information, the hybrid algorithm reduces the computing time required and provides asymptotic standard errors at convergence. The algorithm is illustrated on the two-component normal mixture. |
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| Keywords: | Mixtures maximum likelihood Gauss-Newton EM algorithm |
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