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A dynamic EM algorithm for estimating mixture proportions |
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| Authors: | Jorgensen Murray |
| Affiliation: | (1) Institut National de Recherche sur les Transports et leur S?curit?, 2 avenue du g?n?ral Malleret-Joinville, 94114 Arcueil, France;(2) Laboratoire HEUDIASYC, Universit? de Technologie de Compi?gne, UMR CNRS 6599, BP 20529, 60205 Compi?gne Cedex, France |
| Abstract: | We investigate the use of a dynamic form of the EM algorithm to estimate proportions in finite mixtures of known distributions. We prove a consistency result for this algorithm, which employs only a single EM update for each new observation. Our aim is to demonstrate that the slow convergence rate of the EM algorithm in many applications is of little practical consequence in a situation when data is frequently being updated. |
| Keywords: | Convergence finite mixture model maximum likelihood sequential estimation |
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