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On the use of the predictive likelihood of a Gaussian model

✍ Scribed by Hirotugu Akaike


Publisher
Springer Japan
Year
1980
Tongue
English
Weight
777 KB
Volume
32
Category
Article
ISSN
0020-3157

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We show that a non-identifiability problem can occur when one attempts to estimate the degrees of freedom and the unstructured covariance matrix simultaneously in a Gaussian-inverted Wishart model, using the maximum likelihood approach. However, the EM algorithm may falsely converge to give finite e