A dynamic EM algorithm for estimating mixture proportions
We investigate the use of a dynamic form of the EM algorithm to estimate proportions in finite mixtures of known distributions. We prove a consistency result for this algorithm, which employs only a single EM update for each new observation. Our aim is to demonstrate that the slow convergence rate of the EM algorithm in many applications is of little practical consequence in a situation when data is frequently being updated.
convergence finite mixture model maximum likelihood sequential estimation