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Write down the expressions for the E- and M-steps. on the (k + 1)th iteration of the EM algorithm.

Question

Write down the expressions for the E- and M-steps.

on the (k + 1)th iteration of the EM algorithm.

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Solution

The Expectation-Maximization (EM) algorithm is a two-step iterative method used in statistics to find the maximum likelihood estimate of parameters when the data is incomplete or has missing values. The two steps are the Expectation step (E-step) and the Maximization step (M-step).

Here are the general expressions for the E-step and M-step on the (k + 1)th iteration of the EM algorithm:

  1. E-step: Given the current estimate for the parameters (at iteration k), calculate the expected value of the log-likelihood function, with respect to the conditional distribution of the latent variable given the observed data and the current parameter estimate.

    E-step formula: Q(Θ, Θ^(k)) = E_Z[log L(Θ|X,Z)|X, Θ^(k)]

    Here, Θ represents the parameters, X represents the observed data, Z represents the latent or missing data, and E_Z denotes the expectation over Z. The expectation is taken with respect to the conditional distribution of Z given X and the current parameter estimate Θ^(k).

  2. M-step: Maximize the function Q(Θ, Θ^(k)) obtained in the E-step with respect to the parameters Θ to obtain the updated parameter estimates for the next iteration (k + 1).

    M-step formula: Θ^(k+1) = argmax_Θ Q(Θ, Θ^(k))

    Here, argmax_Θ denotes the argument of the maximum, i.e., the parameter value that maximizes the function Q(Θ, Θ^(k)).

Remember that the specific form of these steps will depend on the particular model and likelihood function you are working with.

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