Dear Ross, I programmed an EM for trivariate normal data in SPLUS and achieved the same values as presented on p.176 Schafer (1997) but convergence within four digits for all parameters not until 23 iterations. I don't have an explanation.
Best wishes Susanne At 16:45 22.11.00 +0000, you wrote: >I have tried to reproduce the example on page 176 of Schafer's book. >I have used both Joe Schafer's "norm" package and my own code that follows >the psuedocode given on page 168. > >The results are below. Both these agree but neither agree with Table 5.1 b >which quotes esimates that converge much faster than the former. > >I would be interested in hearing from anyone who has looked at this. > >Cheers > >Ross Darnell > >My version of the psuedocode (in R) gives > > t mu_3 sigma_3 rho_13 rho_23 > ----------------------------------------------------------- > 0 200.000 50.0000 0.000000 0.000000 > 1 214.571 45.8580 0.280948 0.411372 > 2 219.173 43.8167 0.372608 0.609371 > 3 220.892 43.4985 0.398496 0.691951 > 4 221.618 43.6750 0.404261 0.723726 > 5 221.946 43.8818 0.404878 0.735815 > 6 222.100 44.0216 0.404501 0.740493 > 7 222.172 44.1014 0.404109 0.742351 > 8 222.206 44.1433 0.403854 0.743110 > 9 222.223 44.1644 0.403711 0.743428 > 10 222.230 44.1747 0.403636 0.743564 > 11 222.234 44.1796 0.403598 0.743623 > 12 222.236 44.1820 0.403580 0.743649 > 13 222.236 44.1831 0.403571 0.743661 > 14 222.237 44.1836 0.403566 0.743667 > 15 222.237 44.1839 0.403564 0.743669 > 16 222.237 44.1840 0.403563 0.743670 > 17 222.237 44.1840 0.403563 0.743671 > > ----------------------------------------------------------- > > >Schafers norm code gives this > > t mu_3 sigma_3 rho_13 rho_23 > ----------------------------------------------------------- > 0 200.000 50.0000 0.000000 0.000000 > 1 214.571 45.8580 0.280948 0.411372 > 2 219.173 43.8167 0.372608 0.609371 > 3 220.892 43.4985 0.398496 0.691951 > 4 221.618 43.6750 0.404261 0.723726 > 5 221.946 43.8818 0.404878 0.735815 > 6 222.100 44.0216 0.404501 0.740493 > 7 222.172 44.1014 0.404109 0.742351 > 8 222.206 44.1433 0.403854 0.743110 > 9 222.223 44.1644 0.403711 0.743428 > 10 222.230 44.1747 0.403636 0.743564 > 11 222.234 44.1796 0.403598 0.743623 > 12 222.236 44.1820 0.403580 0.743649 > 13 222.236 44.1831 0.403571 0.743661 > 14 222.236 44.1831 0.403571 0.743661 > 15 222.236 44.1831 0.403571 0.743661 > 16 222.236 44.1831 0.403571 0.743661 > > ------------------------------------------------------------
