Statistique
Sur la convergence de l'estimation conditionnelle itérative
[On convergence of the iterative conditional estimation]
Comptes Rendus. Mathématique, Volume 346 (2008) no. 7-8, pp. 457-460.

The iterative conditional estimation (ICE) is an iterative estimation method of the parameters in the case of incomplete data. Its use asks for relatively weak hypotheses and it can be performed in relatively complex situations, as in triplet Markov models. The aim of this Note is to express a general theorem of convergence of ICE, and to show its applicability in the problem of the estimation of the proportions in a mixture of multivariate distributions.

L'estimation conditionnelle itérative (ECI) est une méthode d'estimation itérative des paramètres dans le cas des données incomplètes. Sa mise en œuvre demande des hypothèses relativement faibles et peut être effectuée dans des situations relativement complexes, comme les modèles de Markov triplets. L'objet de cette Note est d'énoncer un théorème général de convergence de l'ECI, et de montrer son applicabilité dans le problème de l'estimation des proportions dans un mélange de lois multi-variées.

Received:
Accepted:
Published online:
DOI: 10.1016/j.crma.2008.02.023
Pieczynski, Wojciech 1

1 Institut TELECOM ; TELECOM et Management SudParis ; Dépt. CITI ; CNRS UMR 5157, 9, rue Charles-Fourier, 91000 Evry, France
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Pieczynski, Wojciech. Sur la convergence de l'estimation conditionnelle itérative. Comptes Rendus. Mathématique, Volume 346 (2008) no. 7-8, pp. 457-460. doi : 10.1016/j.crma.2008.02.023. http://www.numdam.org/articles/10.1016/j.crma.2008.02.023/

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