Electronic Journal of Statistics

Long range search for maximum likelihood in exponential families

Saisuke Okabayashi and Charles J. Geyer

Full-text: Open access

Abstract

Exponential families are often used to model data sets with complex dependence. Maximum likelihood estimators (MLE) can be difficult to estimate when the likelihood is expensive to compute. Markov chain Monte Carlo (MCMC) methods based on the MCMC-MLE algorithm in [17] are guaranteed to converge in theory under certain conditions when starting from any value, but in practice such an algorithm may labor to converge when given a poor starting value. We present a simple line search algorithm to find the MLE of a regular exponential family when the MLE exists and is unique. The algorithm can be started from any initial value and avoids the trial and error experimentation associated with calibrating algorithms like stochastic approximation. Unlike many optimization algorithms, this approach utilizes first derivative information only, evaluating neither the likelihood function itself nor derivatives of higher order than first. We show convergence of the algorithm for the case where the gradient can be calculated exactly. When it cannot, it has a particularly convenient form that is easily estimable with MCMC, making the algorithm still useful to a practitioner.

Article information

Source
Electron. J. Statist. Volume 6 (2012), 123-147.

Dates
First available in Project Euclid: 3 February 2012

Permanent link to this document
https://projecteuclid.org/euclid.ejs/1328280900

Digital Object Identifier
doi:10.1214/11-EJS664

Mathematical Reviews number (MathSciNet)
MR2879674

Zentralblatt MATH identifier
1336.62078

Keywords
Markov chain Monte Carlo exponential families Potts Ising exponential random graph stochastic approximation

Citation

Okabayashi, Saisuke; Geyer, Charles J. Long range search for maximum likelihood in exponential families. Electron. J. Statist. 6 (2012), 123--147. doi:10.1214/11-EJS664. https://projecteuclid.org/euclid.ejs/1328280900.


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