ON THE RATE OF CONVERGENCE OF THE ECME ALGORITHM FOR MULTIPLE-REGRESSION MODELS WITH T-DISTRIBUTED ERRORS

Although much work has been done on comparing and contrasting the EM a nd ECME algorithms, in terms of their rates of convergence, it is not clear what mechanism underlies each and, furthermore, what factors may determine and influence their rates of convergence. In this paper, we examine the convergence rates and properties of these two popular opt imisation algorithms as used in computing the maximum likelihood estim ates from regression models with t-distributed errors. By approaching this computing problem through the use of two data augmentation scheme s, as well as variations of these well-known algorithms, we offer a mo re composite view on the performance of each.