Parameter Expansion and Efficient Inference

Details Parameter Expansion and Efficient Inference Parameter Expansion and Efficient Inference

2011-04-13

arxiv.org/abs/1104.2407v1

Statistical Science 2010, Vol. 25, No. 4, 533-544

Statistics

Methodology

Published in at http://dx.doi.org/10.1214/10-STS348 the Statistical Science (http://www.imstat.org/sts/) by the Institute of M

Scientific paper

10.1214/10-STS348

This EM review article focuses on parameter expansion, a simple technique introduced in the PX-EM algorithm to make EM converge faster while maintaining its simplicity and stability. The primary objective concerns the connection between parameter expansion and efficient inference. It reviews the statistical interpretation of the PX-EM algorithm, in terms of efficient inference via bias reduction, and further unfolds the PX-EM mystery by looking at PX-EM from different perspectives. In addition, it briefly discusses potential applications of parameter expansion to statistical inference and the broader impact of statistical thinking on understanding and developing other iterative optimization algorithms.

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