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November 2010 Parameter Expansion and Efficient Inference
Andrew Lewandowski, Chuanhai Liu, Scott Vander Wiel
Statist. Sci. 25(4): 533-544 (November 2010). DOI: 10.1214/10-STS348


This EM review article focuses on parameter expansion, a simple technique introduced in the PX-EM algorithm to make EM converge faster while maintaining its simplicity and stability. The primary objective concerns the connection between parameter expansion and efficient inference. It reviews the statistical interpretation of the PX-EM algorithm, in terms of efficient inference via bias reduction, and further unfolds the PX-EM mystery by looking at PX-EM from different perspectives. In addition, it briefly discusses potential applications of parameter expansion to statistical inference and the broader impact of statistical thinking on understanding and developing other iterative optimization algorithms.


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Andrew Lewandowski. Chuanhai Liu. Scott Vander Wiel. "Parameter Expansion and Efficient Inference." Statist. Sci. 25 (4) 533 - 544, November 2010.


Published: November 2010
First available in Project Euclid: 14 March 2011

zbMATH: 1329.62283
MathSciNet: MR2807769
Digital Object Identifier: 10.1214/10-STS348

Rights: Copyright © 2010 Institute of Mathematical Statistics


Vol.25 • No. 4 • November 2010
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