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Direct calculation of the information matrix via the EM

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  • D. Oakes

Abstract

A simple explicit formula is provided for the matrix of second derivatives of the observed data log‐likelihood in terms of derivatives of the criterion function (conditional expectation of the complete data log‐likelihood given the observed data) invoked by the EM algorithm.

Suggested Citation

  • D. Oakes, 1999. "Direct calculation of the information matrix via the EM," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(2), pages 479-482, April.
    • Handle: RePEc:bla:jorssb:v:61:y:1999:i:2:p:479-482
    DOI: 10.1111/1467-9868.00188
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