Composite Likelihood Em Algorithm with Applications to Multivariate Hidden Markov Model

  • Xin Gao, Peter X.-K. Song
  • Published 2010

Abstract

The method of composite likelihood is useful for dealing with estimation and inference in parametric models with high-dimensional data where the full likelihood approach renders computation intractable. We develop an extension of the EM algorithm in the framework of composite likelihood estimation given missing data or latent variables. We establish key… (More)

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