VincentHall
VincentHall

Reputation: 37

univariate Normal impution with EM algorithm

I need some example on how to fill missing data with EM algorithm. The data, as the daily relative change of a stock price, assumed to normally distributed and univariate sample. I've done some literature search but hardly found any example on this. It seems when people talk about the application of EM algorithm to imputation of missing data, they usually give examples on multivariate case. These are the cases I see from most papers/lecture notes.

Now I am wondering whether people fill missing data for an univariate sample with EM algorithm, and whether the EM algorithm imputation is equivalent to mean imputation in this case. I really appreciate if you can share some insights or give a link for any reference on this topic.

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