## On use of EM algorithm for penalized likelihood estimation.(English)Zbl 0706.62022

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.

### MSC:

 62F10 Point estimation 65C99 Probabilistic methods, stochastic differential equations