The restricted EM algorithm under inequality restrictions on the parameters |
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Authors: | Ning-Zhong Shi Shu-Rong Zheng Jianhua Guo |
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Institution: | a Department of Mathematics, Northeast Normal University, Changchun, China b Jilin University, Changchun, China |
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Abstract: | One of the most powerful algorithms for maximum likelihood estimation for many incomplete-data problems is the EM algorithm. The restricted EM algorithm for maximum likelihood estimation under linear restrictions on the parameters has been handled by Kim and Taylor (J. Amer. Statist. Assoc. 430 (1995) 708-716). This paper proposes an EM algorithm for maximum likelihood estimation under inequality restrictions A0β?0, where β is the parameter vector in a linear model W=Xβ+ε and ε is an error variable distributed normally with mean zero and a known or unknown variance matrix Σ>0. Some convergence properties of the EM sequence are discussed. Furthermore, we consider the consistency of the restricted EM estimator and a related testing problem. |
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Keywords: | 62H15 62F12 |
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