arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 1002.3640stat.COstat.ME
收藏

改进的混合比例EM及其在删失数据非参数ML估计中的应用

Improved EM for Mixture Proportions with Applications to Nonparametric ML Estimation for Censored Data

Yaming Yu

摘要:

改进的EM策略,基于有效的数据增强的想法(孟和van Dyk 1997,1998),提出了混合比例的ML估计。由此产生的算法继承了EM的简单性,易于实现,单调收敛特性,但有相当大的提高速度。由于传统的EM往往是缓慢的,当存在一个大的重叠之间的混合成分,我们可以提高速度,而不牺牲简单性或稳定性,如果我们可以重新制定的问题,以减少重叠的量。为此,我们提出了简单的“挤压”策略。此外,对于高维问题,如计算非参数MLE的分布函数与删失数据,传统EM的一个自然和有效的补救措施是增加交换步骤(基于改进的EM)之间的相邻的混合成分,重叠是最严重的。理论考虑表明,当仔细实现时,由此产生的EM类型算法是全局收敛的。模拟和真实数据的例子表明,在现实情况下的速度显着提高。

英文摘要:

Improved EM strategies, based on the idea of efficient data augmentation (Meng and van Dyk 1997, 1998), are presented for ML estimation of mixture proportions. The resulting algorithms inherit the simplicity, ease of implementation, and monotonic convergence properties of EM, but have considerably improved speed. Because conventional EM tends to be slow when there exists a large overlap between the mixture components, we can improve the speed without sacrificing the simplicity or stability, if we can reformulate the problem so as to reduce the amount of overlap. We propose simple "squeezing" strategies for that purpose. Moreover, for high-dimensional problems, such as computing the nonparametric MLE of the distribution function with censored data, a natural and effective remedy for conventional EM is to add exchange steps (based on improved EM) between adjacent mixture components, where the overlap is most severe. Theoretical considerations show that the resulting EM-type algorithms, when carefully implemented, are globally convergent. Simulated and real data examples show dramatic improvement in speed in realistic situations.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

↑