Particle methods for maximum likelihood estimation in latent variable models
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- Johansen, A.M., Doucet, A. & Davy, M. Stat Comput (2008) 18: 47. doi:10.1007/s11222-007-9037-8
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Standard methods for maximum likelihood parameter estimation in latent variable models rely on the Expectation-Maximization algorithm and its Monte Carlo variants. Our approach is different and motivated by similar considerations to simulated annealing; that is we build a sequence of artificial distributions whose support concentrates itself on the set of maximum likelihood estimates. We sample from these distributions using a sequential Monte Carlo approach. We demonstrate state-of-the-art performance for several applications of the proposed approach.