The EM Algorithm

The EM algorithm is now a force of nature. It holds a powerful sway over the modelling and estimating energies of numerous statisticians, bioinformaticists, and machine learners. It also has its share of critics.

It is an almost Herculean task to try to understand both the the current scope and historical trajectory of the EM algorithm, and, at the end of the day, we are all more interested in what is new than what is old. An important resource for both is

Meng, X.-L. and van Dyk, D. (1997). "The EM Algorithm --- an Old Folk-song Sung to a Fast New Tune," J. R. Statist. Soc. 59 (3), 511-567.

The Originals

Meng and van Dyk observe that while it is difficult to say who first sang the EM tune, there is no doubt about the artists who first put it on the top-ten list.

Dempster, A.P., Laird, N.M., and Rubin, D.B. (1977). "Maximum likelihood from incomplete data via the EM algorithm (with discussion)," J. R. Statist. Soc. B, 39, 1--38.