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A data augmentation approach for a class of statistical inference problems

We present an algorithm for a class of statistical inference problems. The main idea is to reformulate the inference problem as an optimization procedure, based on the generation of surrogate (auxiliary) functions. This approach is motivated by the MM algorithm, combined with the systematic and iter...

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Detalles Bibliográficos
Autores principales: Carvajal, Rodrigo, Orellana, Rafael, Katselis, Dimitrios, Escárate, Pedro, Agüero, Juan Carlos
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2018
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6287833/
https://www.ncbi.nlm.nih.gov/pubmed/30532211
http://dx.doi.org/10.1371/journal.pone.0208499
Descripción
Sumario:We present an algorithm for a class of statistical inference problems. The main idea is to reformulate the inference problem as an optimization procedure, based on the generation of surrogate (auxiliary) functions. This approach is motivated by the MM algorithm, combined with the systematic and iterative structure of the Expectation-Maximization algorithm. The resulting algorithm can deal with hidden variables in Maximum Likelihood and Maximum a Posteriori estimation problems, Instrumental Variables, Regularized Optimization and Constrained Optimization problems. The advantage of the proposed algorithm is to provide a systematic procedure to build surrogate functions for a class of problems where hidden variables are usually involved. Numerical examples show the benefits of the proposed approach.