EM algorithm convergence KF log likelihood decrease

[MikeLowri123]

Hi everyone,

Im running the KF to learn parameters of a model, the log likelihood of the p(Y_{k}|Y_{k-1}), however decreases.

Can anyone advise, does this mean my implementation is wrong or can this just be the case.

Advice appreciated

Thanks

 

[MikeLowri123]

Can anyone offer a small piece of advice or even a reference??

 

[chiro]

Hey MikeLowri123.

If you are using the EM to fit some parameters for a parametric distribution, have you tried grabbing some code from a repository like the R platform and seeing the results?