Maximum Likelihood Estimation 既然是maximum likelihood,,那么当然首先要写出likelihood,确切的说这个是marginal likelihood, p(\bm{y} | X, \theta) = \int p(\bm{y} | \bm{f}, X, \theta) p(\bm{f} | X, \theta) \mathrm{d} \bm{f}。 在GPR模型中,我们知道\bm{f} \sim \mathcal{GP}(...
最大似然估计(maximum likelihood estimation),即通过求似然函数的最大值来估计概率模型的参数。用最大似然估计来计算高斯混合模型的参数,形成如下的优化问题: \max_{\mathbf{\pi,\mu,\Sigma}} \ln p(\mathbf{X|\pi,\mu,\Sigma}) \\ s.t. \sum_{k=1}^{K}{\pi_k}=1 采用拉格朗日乘子法来求极值,...
(2006). Gaussian maximum likelihood estimation for ARMA models I: Time series. Journal of Time Series Analysis 27, 857-875.Yao, Q., and Brockwell, P. Gaussian maximum likelihood estimation for arma models i: time series. Journal of Time Series Analysis 27, 6 ...
Ingrassia, SalvatoreMinotti, Simona C.Eprint ArxivIngrassia, S. and Minotti, S. C. (2012). Maximum likelihood estimation of gaussian cluster weighted models and relationships with mixtures of regression. Technical report, submitted for publication....
Maximum likelihood esti- mation of parameters in the inverse Gaussian distribution, with un- known origin. Technometrics, 23, 257-263.R. C. H. Cheng and N. Amin. Maximum likelihood estimation of parameters in the Inverse Gaussian distribution, with unknown origin. Technometrics, 23(3):257-264...
In this lecture we show how to performmaximum likelihood estimationof a Gaussian mixture model with theExpectation-Maximization (EM) algorithm. At the end of the lecture we discuss practically relevant aspects of the algorithm such as the initialization of parameters and the stopping criterion. ...
Martin R J.Approximations to the determinant term in Gaussian maximum likelihood estimation of some spatial models.. Communications in Statistics Part A:Theory and Methods . 1992Martin, R. J. (1993). Approximations to the determinant term in Gaussian maximum likelihood estimation of some spatial ...
This paper overviews maximum likelihood and Gaussian methods of estimating continuous time models used in finance. Since the exact likelihood can be constructed only in special cases, much attention has been devoted to the development of methods designed
Bayesian and maximum likelihood estimation of hierarchical response time models Hierarchical (or multilevel) statistical models have become increasingly popular in psychology in the last few years. In this article, we consider the appl... S Farrell,CJH Ludwig - 《Psychon Bull Rev》 被引量: 88发表...
Maximum Likelihood Estimation of Parameter in the Inverse Gaussian Distribution, With Unknown Origin. Maximum likelihood estimation is applied to the three-parameter Inverse Gaussian distribution, which includes an unknown shifted origin parameter. It is we... Cheng,CH R.,Amin,... - 《Technometrics》...