Green, Peter J. On use of EM algorithm for penalized likelihood estimation. (English) Zbl 0706.62022 J. R. Stat. Soc., Ser. B 52, No. 3, 443-452 (1990). Summary: The EM algorithm is a popular approach to maximum likelihood estimation but has not been much used for penalized likelihood or maximum a posteriori estimation. This paper discusses properties of the EM algorithm in such contexts, concentrating on rates of convergence, and presents an alternative that is usually more practical and converges at least as quickly. Cited in 3 ReviewsCited in 44 Documents MSC: 62F10 Point estimation 65C99 Probabilistic methods, stochastic differential equations Keywords:one-step-late algorithm; penalized likelihood; maximum a posteriori estimation; EM algorithm; rates of convergence PDF BibTeX XML Cite \textit{P. J. Green}, J. R. Stat. Soc., Ser. B 52, No. 3, 443--452 (1990; Zbl 0706.62022) OpenURL