A procedure is derived for extracting the observed information matrix when the EM algorithm is used to find maximum likelihood estimates in incomplete data problems. The technique requires computation of a complete-data gradient vector or second derivative matrix, but not those associated with the incomplete data likelihood. In addition, a method useful in speeding up the convergence of the EM algorithm is developed. Two examples are presented.
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Journal of the Royal Statistical Society. Series B (Methodological)
© 1982 Royal Statistical Society
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