folded Normals

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While having breakfast (after an early morn swim at the vintage La Butte aux Cailles pool, which let me in free!), I noticed a letter to the Editor in the Annals of Applied Statistics, which I was unaware existed. (The concept, not this specific letter!) The point of the letter was to indicate that finding the MLE for the mean and variance of a folded normal distribution was feasible without resorting to the EM algorithm. Since the folded normal distribution is a special case of mixture (with fixed weights), using EM is indeed quite natural, but the author, Iain MacDonald, remarked that an optimiser such as R nlm() could be called instead. The few lines of relevant R code were even included. While this is a correct if minor remark, I am a wee bit surprised at seeing it included in the journal, the more because the authors of the original paper using the EM approach were given the opportunity to respond, noticing EM is much faster than nlm in the cases they tested, and Iain MacDonald had a further rejoinder! The more because the Wikipedia page mentioned the use of optimisers much earlier (and pointed out at the R package Rfast as producing MLEs for the distribution).

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This article is originally published at https://xianblog.wordpress.com
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