NUI Galway Mathematics
Preprint IRL-GLWY-2005-004 (PDF)

A note on NPML estimation for exponential family regression models with unspecified dispersion parameter

Jochen Einbeck and John Hinde

Abstract

Nonparametric maximum likelihood (NPML) estimation for exponential families with unspecified dispersion parameter φ suffers from computational instability, which can lead to highly fluctuating EM trajectories and suboptimal solutions, in particular when φ is allowed to vary over mixture components. In this paper, a damped version of the EM algorithm is proposed to cope with these problems.

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