An Expectation-Maximization Algorithm for the Matrix Normal Distribution

Abstract

Dramatic increases in the size and dimensionality of many recent data sets make crucial the need for sophisticated methods that can exploit inherent structure and handle missing values. In this article we derive an expectation-maximization (EM) algorithm for the matrix normal distribution, a distribution well-suited for naturally structured data such as spatio-temporal data. We review previously established maximum likelihood matrix normal estimates, and then consider the situation involving missing data. We apply our EM method in a simulation study exploring errors across different dimensions and proportions of missing data. We compare these errors and computational running times to those from two alternative methods. Finally, we implement the proposed EM method on a satellite image dataset to investigate land-cover classification separability.