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From |
Stas Kolenikov <skolenik@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: finite mixture models with the EM algorithm |

Date |
Thu, 17 Sep 2009 13:49:08 -0500 |

The EM algorithm might converge faster, that's all. You will get the same estimates, although without the standard errors; they are the pain in the lower back with the EM. If -fmm- works for you, there is little reason to try and code the EM algorithm from scratch, unless you'd be lucky to find an implementation floating around. Unlike the general -ml-, the EM algorithm is problem-specific and depends on what your missing data are. In -xtmixed-, the missing data are continuous random effects, while in mixture models, the missing data are discrete class indicators. The E-steps are entirely different in those two problems. 2009/9/17 László Sándor <sandorl@gmail.com>: > Dear fellow statalisters, > > I am estimating a model where I assume that the dependent variable > came from either of two classical normal linear models, with some > probabilities for the one and the other. This is a finite mixture > model, and I had some success with Partha Deb's -fmm- command. > > However, I heard it might be very much worthwhile to try the > estimation using the EM algorithm, not standard (though fine-tuned á > la Stata) ML. Before any more Google searches getting lost among > latent class models and various related topics, I would ask you > whether you happen to know a tool (or way) that can do this estimation > using the EM algorithm. > > (I know that there are different software packages claiming to do > this, but I would rather stick to Stata. Especially because Stata does > EM for -xtmixed-, for instance, so maybe it is also easily applicable > to my problem somehow.) > > Thank you very much, you're help is very much appreciated, as always. > > Laszlo > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > -- Stas Kolenikov, also found at http://stas.kolenikov.name Small print: I use this email account for mailing lists only. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: finite mixture models with the EM algorithm***From:*László Sándor <sandorl@gmail.com>

**References**:**st: finite mixture models with the EM algorithm***From:*László Sándor <sandorl@gmail.com>

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