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Expectation conditional maximization (ECM) replaces each M step with a sequence of conditional maximization (CM) steps in which each parameter θ i is maximized individually, conditionally on the other parameters remaining fixed. [34] Itself can be extended into the Expectation conditional maximization either (ECME) algorithm. [35]
Estimation of dynamic discrete choice models is particularly challenging, due to the fact that the researcher must solve the backwards recursion problem for each guess of the structural parameters. The most common methods used to estimate the structural parameters are maximum likelihood estimation and method of simulated moments.
The EM algorithm consists of two steps: the E-step and the M-step. Firstly, the model parameters and the () can be randomly initialized. In the E-step, the algorithm tries to guess the value of () based on the parameters, while in the M-step, the algorithm updates the value of the model parameters based on the guess of () of the E-step.
In electrical engineering, statistical computing and bioinformatics, the Baum–Welch algorithm is a special case of the expectation–maximization algorithm used to find the unknown parameters of a hidden Markov model (HMM). It makes use of the forward-backward algorithm to compute the statistics for the expectation step. The Baum–Welch ...
Some kind of expectation-maximization algorithm is used in the estimation of the parameters of Rasch models. Algorithms for implementing Maximum Likelihood estimation commonly employ Newton–Raphson iterations to solve for solution equations obtained from setting the partial derivatives of the log-likelihood functions equal to 0. Convergence ...
An intuitive explanation of the algorithm from "Numerical Recipes": [5] The downhill simplex method now takes a series of steps, most steps just moving the point of the simplex where the function is largest (“highest point”) through the opposite face of the simplex to a lower point.
This training algorithm is an instance of the more general expectation–maximization algorithm (EM): the prediction step inside the loop is the E-step of EM, while the re-training of naive Bayes is the M-step.
The problem to be solved is to use the observations {r(t)} to create a good estimate of {x(t)}. Maximum likelihood sequence estimation is formally the application of maximum likelihood to this problem. That is, the estimate of {x(t)} is defined to be a sequence of values which maximize the functional = (),