We propose a generic on-line (also sometimes called adaptive or recursive) version of the expectation-maximization (EM) algorithm applicable to latent variable models of independent observations.

Distribution parameter estimates were computed using the expectation-maximization algorithm, a missing information technique. Results of the one-sample chi-square goodness-of-fit test showed a fairly ...

This paper shows that the Expectation-Maximization (EM) algorithm for regime-switching dynamic factor models provides satisfactory performance relative to other estimation methods and delivers a good ...