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Tuesday, September 06, 2016

Local convergence for exponential mixture family

From Redner, Walker 1984

Theorem 5.2.  Suppose that the Fisher information matrix I(Φ) is positive definite at the true parameter Φ and that Φ=(α1,,αm,ϕ1,,ϕm) is such that αi>0 for i=1,,m.  For Φ(0)Ω, denote by {Φ(j)}j=0,1,2, the sequence in Ω generated by the EM iteration.  Then with probability 1, whenever N is sufficiently large, the unique strongly consistent solution ΦN=(αN1,,αNm,ϕN1,,ϕNm) of the likelihood equations is well defined and there is a certain norm on Ω in which  {Φ(j)}j=0,1,2, converges linearly to ΦN whenever Φ(0) is sufficiently near ΦN, i.e. there is a constant 0λ<1, for which
Φ(j+1)ΦNλΦ(j)ΦN,j=0,1,2, whenever Φ(0) is sufficiently near ΦN.

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