A data augmentation approach for a class of statistical inference problems

Rodrigo Carvajal, Rafael Orellana, Dimitrios Katselis, Pedro Escárate, Juan Carlos Agüero

Research output: Contribution to journalArticle

Abstract

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.

Original languageEnglish (US)
Article numbere0208499
JournalPloS one
Volume13
Issue number12
DOIs
StatePublished - Dec 2018

ASJC Scopus subject areas

  • Biochemistry, Genetics and Molecular Biology(all)
  • Agricultural and Biological Sciences(all)
  • General

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