This article discusses the application of the EM algorithm to factor models with dynamic heteroscedasticity in the common factors. It demonstrates that the EM algorithm reduces the computational ...

This article discusses a random-effects model for the analysis of clustered survival times, such as those reflecting the mortality experience of children in the same family. We describe parametric and ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper shows that the Expectation-Maximization (EM) algorithm for regime-switching dynamic factor models provides ...