Maximum likelihood estimation in finite mixture distributions is typically approached as an incomplete data problem to allow application of the expectation-maximization (EM) algorithm. In its general ...

The EM algorithm is a very popular and widely applicable algorithm for the computation of maximum likelihood estimates. Although its implementation is generally simple, the EM algorithm often exhibits ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper shows that the Expectation-Maximization (EM) algorithm for regime-switching dynamic factor models provides ...