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Estimation of the p...
Estimation of the passage time distribution on a graph via the EM algorithm
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- Larson, Kajsa (author)
- Umeå universitet,Institutionen för matematik och matematisk statistik
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(creator_code:org_t)
- 2010
- English 61 s.
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Series: Research report in mathematical statistics, 1653-0829 ; 1
- Related links:
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https://urn.kb.se/re...
Abstract
Subject headings
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- e propose EM algorithms to estimate the passage time distribution on a graph. Data is obtained by observing a flow only at the nodes -- what happens on the edges is unknown. Therefore the sample of passage times, i.e. the times it takes for the flow to stream between two neighbors, consists of right censored and uncensored observations where it sometimes is unknown which is which. For discrete passage time distributions, we show that the maximum likelihood (ML) estimate is strongly consistent under certain weak conditions. We also show that the EM algorithm converges to the ML estimate if the sample size is sufficiently large and the starting value is sufficiently close to the true parameter. In a special case we show that it always converges. In the continuous case, we propose an EM algorithm for fitting phase-type distributions to data.
Subject headings
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Keyword
- EM algorithm
- maximum likelihood
- first-passage percolation
- phase-type dsitribution
- Mathematical statistics
- Matematisk statistik
- Mathematical Statistics
- matematisk statistik
Publication and Content Type
- pop (subject category)
- rap (subject category)
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