I am interested in a proof of convergence of EM algorithm when hidden variables are continuous. I found a proof for a case of discrete hidden variables, but I cannot find it for continuous case. Do you know how to prove, or know the reference? Thanks!
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1This is cross posted on stats.stackexchange.com. – guy Sep 13 '13 at 04:14
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Cross-posting is discouraged, but if you do cross-post, please link to each question from the other(s). That way people don't duplicate effort, and can find any answers given. – robjohn Sep 13 '13 at 06:26
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What is the EM algorithm of which you inquire? I immediately think of the Euler-Maclaurin Sum Formula, but that rarely converges (although I give conditions in this answer under which it does). – robjohn Sep 13 '13 at 06:32
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the Expectation Maximization algorithm – ashim Sep 13 '13 at 16:36