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I am using the Kalman Filter with an EM algorithm, (schumway and stoffer).

From my understanding the log likelihood should monotonically increase.

In some instances however I obtain a decrease in the log likelihood,

What can I infer from this?

Has anyone experience of these issues or know if it's ok to simply stop the algorithm whenever there is an increase?

Thanks

Emma

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# Kalman Filter EM decrease log likelihood

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