A Study for Efficient EM Algorithms for Estimation of the Proportion of a Mixed Distribution

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Journal of Korean Society for Quality Management > Volume 30(4); 2002 > Article

Journal of Korean Society for Quality Management 2002;30(4): 68-.

분포 혼합비율의 모수추정을 위한 효율적인 알고리즘에 관한 연구

황강진¹, 박경탁², 유희경³

¹강릉영동대학 인터넷사무정보전공
²동국대학교 통계학과
³삼척대학교 컴퓨터공학과

A Study for Efficient EM Algorithms for Estimation of the Proportion of a Mixed Distribution

ABSTRACT

EM algorithm has good convergence rate for numerical procedures which converges on very small step. In the case of proportion estimation in a mixed distribution which has very big incomplete data or of update of new data continuously, however, EM algorithm highly depends on a initial value with slow convergence ratio. There have been many studies to improve the convergence rate of EM algorithm in estimating the proportion parameter of a mixed data. Among them, dynamic EM algorithm by Hurray Jorgensen and Titterington algorithm by D. M. Titterington are proven to have better convergence rate than the standard EM algorithm, when a new data is continuously updated. In this paper we suggest dynamic EM algorithm and Titterington algorithm for the estimation of a mixed Poisson distribution and compare them in terms of convergence rate by using a simulation method.