A hybrid EM/Gauss-Newton algorithm for maximum likelihood in mixture distributions
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A faster alternative to the EM algorithm in finite mixture distributions is described, which alternates EM iterations with Gauss-Newton iterations using the observed information matrix. At the expense of modest additional analytical effort in obtaining the observed information, the hybrid algorithm reduces the computing time required and provides asymptotic standard errors at convergence. The algorithm is illustrated on the two-component normal mixture.
KeywordsMixtures maximum likelihood Gauss-Newton EM algorithm
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