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Title: Standard error estimation for EM applications related to Latent class models
Authors: Camilleri, Liberato
Keywords: Expectation-maximization algorithms
Numerical differentiation
Latent variables
Latent structure analysis
Multivariate analysis
Issue Date: 2008
Publisher: The European Multidisciplinary Society for Modelling and Simulation Technology
Citation: Camilleri, L. (2008). Standard error estimation for EM applications related to Latent class models. First International North American Simulation Technology Conference, Montreal. 52-56.
Abstract: The EM algorithm is a popular method for computing maximum likelihood estimates. It tends to be numerically stable, reduces execution time compared to other estimation procedures and is easy to implement in latent class models. However, the EM algorithm fails to provide a consistent estimator of the standard errors of maximum likelihood estimates in incomplete data applications. Correct standard errors can be obtained by numerical differentiation. The technique requires computation of a complete-data gradient vector and Hessian matrix, but not those associated with the incomplete data likelihood. Obtaining first and second derivatives numerically is computationally very intensive and execution time may become very expensive when fitting Latent class models using a Newton-type algorithm. When the execution time is too high one is motivated to use the EM algorithm solution to initialize the Newton Raphson algorithm. We also investigate the effect on the execution time when a final Newton-Raphson step follows the EM algorithm after convergence. In this paper we compare the standard errors provided by the EM and Newton-Raphson algorithms for two models and analyze how this bias is affected by the number of parameters in the model fit.
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