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EM algorithm convergence KF log likelihood decrease

  1. Mar 1, 2013 #1
    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

  2. jcsd
  3. Mar 5, 2013 #2
    Can anyone offer a small piece of advice or even a reference??
  4. Mar 5, 2013 #3


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    Science Advisor

    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?
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