EM algorithm convergence KF log likelihood decrease

MikeLowri123
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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
 
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Can anyone offer a small piece of advice or even a reference??
 
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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