The cascade EM algorithm

The estimate-maximize (EM) algorithm is an iterative method for finding maximum-likelihood parameter estimates from incomplete data. The authors develop an extension of the EM algorithm that may be useful in accelerating the algorithm and in simplifying the computations involved. The extension works with an intermediate complete data specification, and performs intermediate steps at some iterations. The authors consider the problem of parameter identification of a continuous-time linear dynamic system given discrete-time observations, and show that the proposed algorithm accelerates the convergence of the EM algorithm and simplifies the computations involved