Convergence properties of a general algorithm for calculating variational Bayesian estimates for a normal mixture model
نویسندگان
چکیده
In this paper we propose a generalised iterative algorithm for calculating variational Bayesian estimates for a normal mixture model and we investigate its convergence properties. It is shown theoretically that the variational Bayes estimator converges locally to the maximum likelihood estimator at the rate of O(1/n) in the large sample limit. We also demonstrate by numerical experiments that the generalised algorithm can be accelerated by suitable choice of step size.
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