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A data augmentation approach for a class of statistical inference problems

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  • Rodrigo Carvajal
  • Rafael Orellana
  • Dimitrios Katselis
  • Pedro Escárate
  • Juan Carlos Agüero

Abstract

We present an algorithm for a class of statistical inference problems. The main idea is to reformulate the inference problem as an optimization procedure, based on the generation of surrogate (auxiliary) functions. This approach is motivated by the MM algorithm, combined with the systematic and iterative structure of the Expectation-Maximization algorithm. The resulting algorithm can deal with hidden variables in Maximum Likelihood and Maximum a Posteriori estimation problems, Instrumental Variables, Regularized Optimization and Constrained Optimization problems. The advantage of the proposed algorithm is to provide a systematic procedure to build surrogate functions for a class of problems where hidden variables are usually involved. Numerical examples show the benefits of the proposed approach.

Suggested Citation

  • Rodrigo Carvajal & Rafael Orellana & Dimitrios Katselis & Pedro Escárate & Juan Carlos Agüero, 2018. "A data augmentation approach for a class of statistical inference problems," PLOS ONE, Public Library of Science, vol. 13(12), pages 1-24, December.
    • Handle: RePEc:plo:pone00:0208499
    DOI: 10.1371/journal.pone.0208499
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    References listed on IDEAS

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    1. Hunter D.R. & Lange K., 2004. "A Tutorial on MM Algorithms," The American Statistician, American Statistical Association, vol. 58, pages 30-37, February.
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