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Mathematics Research Report MRR95-061
n-Stage Splitting For Maximum Penalized Likelihood Estimation
Geoff A. Latham and S. Yu
Abstract:
An n-stage splitting algorithm for the solution of maximum
penalized
likelihood estimation (MPLE) problems is compared to the one-step-late
(OSL) algorithm. General conditions under which the asymptotic rate of
convergence of this splitting algorithm exceeds that of the OSL algorithm
are given. A one-dimensional positive data example illustrates the
comparison of the rates of convergence of these two algorithms.
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