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Stat.</a> <a href="/?q=in%3A103685" title="Articles in this Issue">8, 115-131 (2004)</a>. </div> <div class="abstract">Summary: The stochastic approximation version of EM (SAEM) proposed by <span class="zbmathjax-textit">B. Delyon</span> et al. [Ann. Stat. 27, No.1, 94–128 (1999; <a href="/0932.62094">Zbl 0932.62094</a>)] is a powerful alternative to EM when the E-step is intractable. Convergence of SAEM toward a maximum of the observed likelihood is established when the unobserved data are simulated at each iteration under the conditional distribution. We show that this very restrictive assumption can be weakened. Indeed, results of Benveniste et al. for stochastic approximation with Markovian perturbations are used to establish the convergence of SAEM when it is coupled with a Markov chain Monte-Carlo procedure. This result is very useful for many practical applications. Applications to convolution models and change-point models are presented to illustrate the proposed method.</div> <div class="clear"></div> <br> <div class="citations"><div class="clear"><a href="/?q=rf%3A2161878">Cited in <strong>67</strong> Documents</a></div></div> <div class="classification"> <h3>MSC:</h3> <table><tr> <td> <a class="mono" href="/classification/?q=cc%3A62L20" title="MSC2020">62L20</a> </td> <td class="space"> Stochastic approximation </td> </tr><tr> <td> <a class="mono" href="/classification/?q=cc%3A65C05" title="MSC2020">65C05</a> </td> <td class="space"> Monte Carlo methods </td> </tr><tr> <td> <a class="mono" href="/classification/?q=cc%3A65C40" title="MSC2020">65C40</a> </td> <td class="space"> Numerical analysis or methods applied to Markov chains </td> </tr></table> </div><div class="keywords"> <h3>Keywords:</h3><a href="/?q=ut%3AEM+algorithm">EM algorithm</a>; <a href="/?q=ut%3ASAEM+algorithm">SAEM algorithm</a>; <a href="/?q=ut%3Astochastic+approximation">stochastic approximation</a>; <a href="/?q=ut%3AMCMC+algorithm">MCMC algorithm</a>; <a href="/?q=ut%3Aconvolution+model">convolution model</a>; <a href="/?q=ut%3Achange-points+model">change-points model</a></div><div class="keywords"> <h3>Citations:</h3><a href="/0932.62094">Zbl 0932.62094</a></div> <!-- Modal used to show zbmath metadata in different output formats--> <div class="modal fade" id="metadataModal" tabindex="-1" role="dialog" aria-labelledby="myModalLabel"> <div class="modal-dialog" role="document"> <div class="modal-content"> <div class="modal-header"> <button type="button" class="close" data-dismiss="modal" aria-label="Close"><span aria-hidden="true">×</span></button> <h4 class="modal-title" id="myModalLabel">Cite</h4> </div> <div class="modal-body"> <div class="form-group"> <label for="select-output" class="control-label">Format</label> <select id="select-output" class="form-control" aria-label="Select Metadata format"></select> </div> <div class="form-group"> <label for="metadataText" class="control-label">Result</label> <textarea class="form-control" id="metadataText" rows="10" style="min-width: 100%;max-width: 100%"></textarea> </div> <div id="metadata-alert" class="alert alert-danger" role="alert" style="display: none;"> <!-- alert for connection errors etc --> </div> </div> <div class="modal-footer"> <button type="button" class="btn btn-primary" onclick="copyMetadata()">Copy to clipboard</button> <button type="button" class="btn btn-default" data-dismiss="modal">Close</button> </div> </div> </div> </div> <div class="functions clearfix"> <div class="function"> <!-- Button trigger metadata modal --> <a type="button" class="btn btn-default btn-xs pdf" data-toggle="modal" data-target="#metadataModal" data-itemtype="Zbl" data-itemname="Zbl 1155.62420" data-ciurl="/ci/02161878" data-biburl="/bibtex/02161878.bib" data-amsurl="/amsrefs/02161878.bib" data-xmlurl="/xml/02161878.xml" > Cite </a> <a class="btn btn-default btn-xs pdf" data-container="body" type="button" href="/pdf/02161878.pdf" title="Zbl 1155.62420 as PDF">Review PDF</a> </div> <div class="fulltexts"> <span class="fulltext">Full Text:</span> <a class="btn btn-default btn-xs" type="button" href="https://doi.org/10.1051/ps:2004007" aria-label="DOI for “Coupling a stochastic approximation version of EM with an MCMC procedure”" title="10.1051/ps:2004007">DOI</a> <a class="btn btn-default btn-xs" type="button" href="http://www.numdam.org/item?id=PS_2004__8__115_0" title="Open Access at Numdam">Numdam</a> <a class="btn btn-default btn-xs" type="button" href="https://eudml.org/doc/245020" title="Open Access at EuDML">EuDML</a> </div> <div class="sfx" style="float: right;"> </div> </div> <div class="references"> <h3>References:</h3> <table><tr> <td>[1]</td> <td class="space">A. 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Article | Zbl 0517.62035 · <a href="/0517.62035" class="nowrap">Zbl 0517.62035</a> · <a href="https://doi.org/10.1214/aos/1176346060" class="nowrap">doi:10.1214/aos/1176346060</a></td> </tr><tr> <td>[16]</td> <td class="space">J.-F. Yao , On recursive estimation in incomplete data models . Statistics 34 ( 2000 ) 27 - 51 (English). Zbl 0977.62092 · <a href="/0977.62092" class="nowrap">Zbl 0977.62092</a> · <a href="https://doi.org/10.1080/02331880008802704" class="nowrap">doi:10.1080/02331880008802704</a></td> </tr></table> <div class="reference_disclaimer"> This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. 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