**W**hile having breakfast (after an early morn swim at the vintage La Butte aux Cailles pool, which let me in free!), I noticed a letter to the Editor in the Annals of Applied Statistics, which I was unaware existed. (The concept, not this specific letter!) The point of the letter was to indicate that finding the MLE for the mean and variance of a folded normal distribution was feasible without resorting to the EM algorithm. Since the folded normal distribution is a special case of mixture (with fixed weights), using EM is indeed quite natural, but the author, Iain MacDonald, remarked that an optimiser such as R nlm() could be called instead. The few lines of relevant R code were even included. While this is a correct if minor remark, I am a wee bit surprised at seeing it included in the journal, the more because the authors of the original paper using the EM approach were given the opportunity to respond, noticing EM is much faster than nlm in the cases they tested, and Iain MacDonald had a further rejoinder! The more because the Wikipedia page mentioned the use of optimisers much earlier (and pointed out at the R package Rfast as producing MLEs for the distribution).

## Archive for maximum likelihood estimation

## folded Normals

Posted in Books, Kids, pictures, R, Running, Statistics with tags Annals of Applied Statistics, EM algorithm, folded normal, La Butte aux Cailles, letter to the editor, maximum likelihood estimation, nlm, outdoor swimming, Paris, R, Rfast, swimming pool, wikipedia on February 25, 2021 by xi'an## a neat EM resolution

Posted in Books, Kids, Statistics, University life with tags cross validated, EM algorithm, final exam, maximum likelihood estimation, missing data, MLE, normal model on February 3, 2021 by xi'anRead (and answered) this question on X validation about finding the maximum likelihood estimator of a 2×2 Gaussian covariance matrix when some observations are partly missing. The neat thing is that, in this case, the maximisation step is identical to the maximum likelihood estimation of the 2×2 Gaussian covariance matrix by redefining the empirical covariance matrix into Z and maximising

in *Σ*. Nothing involved but fun to explain, nonetheless. (In my final exam this year, no student even approached the EM questions!)

## artificial EM

Posted in Books, Kids, R, Statistics, University life with tags cross validated, EM algorithm, fixed point, joint distribution, maximum likelihood estimation, something is wrong on the Internet, wikipedia on October 28, 2020 by xi'an**W**hen addressing an X validated question on the use of the EM algorithm when estimating a Normal mean, my first comment was that it was inappropriate since there is no missing data structure to anchor by (right preposition?). However I then reflected upon the infinite number of ways to demarginalise the normal density into a joint density

∫ f(x,z;μ)dz = φ(x–μ)

from the (slice sampler) call to an indicator function for f(x,z;μ) to a joint Normal distribution with an arbitrary correlation. While the joint Normal representation produces a sequence converging to the MLE, the slice representation utterly fails as the indicator functions make any starting value of μ a fixed point for EM.

Incidentally, when quoting from Wikipedia on the purpose of the EM algorithm, the following passage

Finding a maximum likelihood solution typically requires taking the derivatives of the likelihood function with respect to all the unknown values, the parameters and the latent variables, and simultaneously solving the resulting equations.

struck me as confusing and possibly wrong since it seems to suggest to seek a maximum in *both* the parameter and the latent variables. Which does not produce the same value as the observed likelihood maximisation.

## visualising bias and unbiasedness

Posted in Books, Kids, pictures, R, Statistics, University life with tags bias, cross validated, density estimator, dispersion, machine learning, maximum likelihood estimation, normal model, Pattern Recognition and Machine Learning, plug-in estimator, variability on April 29, 2019 by xi'an**A** question on X validated led me to wonder at the point made by Christopher Bishop in his Pattern Recognition and Machine Learning book about the MLE of the Normal variance being biased. As it is illustrated by the above graph that opposes the true and green distribution of the data (made of two points) against the estimated and red distribution. While it is true that the MLE under-estimates the variance on average, the pictures are cartoonist caricatures in their deviance permanence across three replicas. When looking at 10⁵ replicas, rather than three, and at samples of size 10, rather than 2, the distinction between using the MLE (left) and the unbiased estimator of σ² (right).

When looking more specifically at the case n=2, the humongous variability of the density estimate completely dwarfs the bias issue:

Even when averaging over all 10⁵ replications, the difference is hard to spot (and both estimations are more dispersed than the truth!):

## posterior distribution missing the MLE

Posted in Books, Kids, pictures, Statistics with tags Canadian Rockies, dominating measure, Eiffel Peak, Lake Louise, map, maximum a posteriori, maximum likelihood estimation, measure on April 25, 2019 by xi'an**A**n X validated question as to why the MLE is not necessarily (well) covered by a posterior distribution. Even for a flat prior… Which in restrospect highlights the fact that the MLE (and the MAP) are invasive species in a Bayesian ecosystem. Since they do not account for the dominating measure. And hence do not fare well under reparameterisation. (As a very much to the side comment, I also managed to write an almost identical and simultaneous answer to the first answer to the question.)