Further Statistical Methods - Lecture 6
The EM algorithm
The EM algorithm is a clever algorithm which can be used to maximize the likelihood function based on the observed data, ignoring the missing data mechanism. This is the correct likelihood to use if the data are MAR and the parameters for the missing data mechanism are separate from the parameters of interest.
The EM algorithm and many of its variants are described in Little and Rubin (2002), Ch 8. Ch 7 in old edition.
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Last updated: Monday, 14 February 2005 19:18. Steffen L. Lauritzen