Theory and Use of the EM Algorithm

  • Authors:
  • Maya R. Gupta;Yihua Chen

  • Affiliations:
  • -;-

  • Venue:
  • Foundations and Trends in Signal Processing
  • Year:
  • 2011

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Abstract

This introduction to the expectation–maximization (EM) algorithm provides an intuitive and mathematically rigorous understanding of EM. Two of the most popular applications of EM are described in detail: estimating Gaussian mixture models (GMMs), and estimating hidden Markov models (HMMs). EM solutions are also derived for learning an optimal mixture of fixed models, for estimating the parameters of a compound Dirichlet distribution, and for dis-entangling superimposed signals. Practical issues that arise in the use of EM are discussed, as well as variants of the algorithm that help deal with these challenges.