Expectation-maximization algorithm

In statistics, an expectation–maximization (EM) algorithm is an iterative method to find maximum likelihood or maximum a posteriori (MAP) estimates of parameters in statistical models, where the model depends on unobserved latent variables. The EM iteration alternates between performing an expectation (E) step, which creates a function for the expectation of the log-likelihood evaluated using the current estimate for the parameters, and a maximization (M) step, which computes parameters maximizing the expected log-likelihood found on the E step. These parameter-estimates are then used to determine the distribution of the latent variables in the next E step.

The EM algorithm was explained and given its name in a classic 1977 paper by Arthur Dempster, Nan Laird, and Donald Rubin. They pointed out that the method had been "proposed many times in special circumstances" by earlier authors. A very detailed treatment of the EM method for exponential families was published by Rolf Sundberg in his thesis and several papers following his collaboration with Per Martin-Löf and Anders Martin-Löf. The Dempster-Laird-Rubin paper in 1977 generalized the method and sketched a convergence analysis for a wider class of problems. Regardless of earlier inventions, the innovative Dempster-Laird-Rubin paper in the Journal of the Royal Statistical Society received an enthusiastic discussion at the Royal Statistical Society meeting with Sundberg calling the paper "brilliant". The Dempster-Laird-Rubin paper established the EM method as an important tool of statistical analysis.

The convergence analysis of the Dempster-Laird-Rubin paper was flawed and a correct convergence analysis was published by C.F. Jeff Wu in 1983. Wu's proof established the EM method's convergence outside of the exponential family, as claimed by Dempster-Laird-Rubin.

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