Maximum likelihood estimation via the ECM algorithm: A general framework

Abstract

Two major reasons for the popularity of the EM algorithm are that its maximum step involves only complete-data maximum likelihood estimation, which is often computationally simple, and that its convergence is stable, with each iteration increasing the likelihood. When the associated complete-data maximum likelihood estimation itself is complicated, EM is less attractive because the M-step is computationally unattractive. In many cases, however, complete-data maximum likelihood estimation is relatively simple when conditional on some function of the parameters being estimated. We introduce a class of generalized EM algorithms, which we call the ECM algorithm, for Expectation/Conditional Maximization (CM), that takes advantage of the simplicity of complete-data conditional maximum likelihood estimation by replacing a complicated M-step of EM with several computationally simpler CM-steps. We show that the ECM algorithm shares all the appealing convergence properties of EM, such as always increasing the likelihood, and present several illustrative examples.