Does EM-algorithm only work with missing data? If not, what is the idea to assume that we have missing data?
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1$\begingroup$ Any density that can write as$$f_\theta(x)=\int_\mathscr{Y} g_\theta(x,y)\text{d}y$$qualifies for EM, not truly a restriction. Provided you can implement the E step. $\endgroup$– Xi'anSep 21, 2016 at 8:31
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$\begingroup$ Check also: stats.stackexchange.com/questions/72774/… $\endgroup$– Tim ♦Sep 21, 2016 at 8:42
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I think the Wikipedia for EM algorithm has everything you want and it probably explains better than I do. You can also use the EM algorithm for latent variables; no missing data but variables that you can't observe and measure. The idea of the algorithm is to iteratively adjust your missing data/latent variables until your maximum likelihood estimate converges.
answered Sep 21, 2016 at 8:03