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On the convergence of the iterative solution of the
likelihood equations

University of Groningen, Department of Computing Science,

P.O. Box 800, NL-9700 AV Groningen, The Netherlands,

phone: +31.50.363 3940 - fax: +31.50.363 38005
- e-mail: rudy@cs.rug.nl

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Abstract

To determine the maximum likelihood estimate in case of the iterative
solution of the likelihood equations we need a convergence criterion.
Usually numerically motivated convergence criteria are used; we propose a
statistically motivated convergence criterion. Our criterion reduces the
number of iterations tremendously. The iterative algorithm to solve the
equations is known to be unstable in the neighborhood of the exact
solution. Our method avoids this numerical unstable region. The theory is
validated by simulations.

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Keywords

likelihood equations, convergence, maximum likelihood estimation,
simulation, stability

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Published

*On the convergence of the iterative solution of the
likelihood equations*,
BibTeX

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