Expectation Maximization Algorithm: A Review
Abstract
The Expectation-Maximization (EM) model is used to evaluate the maximum likelihood of parameters of a statistical model using an iterative method. The EM algorithm is applicable when the given data set is incomplete, i.e., data has two parts: one is the observed variable (known), the other is the latent variable. Latent (hidden) variables are not directly observed but inferred from observed variables using some mathematical model. Before using the EM algorithm, we need to understand observed variables, latent variables, likelihood, and Jensen’s inequalities. In this review work, the basic theory of all the mathematical models used in the implementation of the EM algorithm, operational steps of the algorithm with explanation, and numerical examples are shown explicitly to get a clear concept of it.
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