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On the rate of convergence of the ECM algorithm. (English) Zbl 0803.65146
This paper studies algorithms to find maximum likelihood estimates given the observed data. The author proves a fundamental result on the rate of convergence of the EM algorithm and ECM algorithm. An example is shown that intuitions accurate for complete-data iterative algorithms may not be trust-worthy in the presence of missing data.

MSC:
65C99 Probabilistic methods, stochastic differential equations
62A01 Foundations and philosophical topics in statistics
62F10 Point estimation
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