Les modèles non linéaires à effets mixtes - Isped

Convergence of SAEM
Delyon, Lavielle et Moulines (1999)
For exponential models, the sequence (θ k ) converges almost surely
toward a stationary point ̂θ g of the observed likelihood g under very
general conditions.
Some weak hypothesis ensure the convergence to a (local) maximum of
the likelihood
Practical drawbacks:
Convergence depends on the initial guess.
=⇒ use a simulated annealing version of SAEM
Sminaire ”Statistique et Sant Publique”, Bordeaux - 8 novembre 2005, p.27