The EM Algorithm and Extensions

Geoffrey J. McLachlan, Thriyambakam Krishnan9780471123583, 0-471-12358-7

The first unified account of the theory, methodology, and applications of the EM algorithm and its extensionsSince its inception in 1977, the Expectation-Maximization (EM) algorithm has been the subject of intense scrutiny, dozens of applications, numerous extensions, and thousands of publications. The algorithm and its extensions are now standard tools applied to incomplete data problems in virtually every field in which statistical methods are used. Until now, however, no single source offered a complete and unified treatment of the subject.The EM Algorithm and Extensions describes the formulation of the EM algorithm, details its methodology, discusses its implementation, and illustrates applications in many statistical contexts. Employing numerous examples, Geoffrey McLachlan and Thriyambakam Krishnan examine applications both in evidently incomplete data situations-where data are missing, distributions are truncated, or observations are censored or grouped-and in a broad variety of situations in which incompleteness is neither natural nor evident. They point out the algorithm’s shortcomings and explain how these are addressed in the various extensions.Areas of application discussed include: * Regression * Medical imaging * Categorical data analysis * Finite mixture analysis * Factor analysis * Robust statistical modeling * Variance-components estimation * Survival analysis * Repeated-measures designsFor theoreticians, practitioners, and graduate students in statistics as well as researchers in the social and physical sciences, The EM Algorithm and Extensions opens the door to the tremendous potential of this remarkably versatilestatistical tool.