High Dimensional EM Algorithm: Statistical Optimization and Asymptotic Normality

We provide a general theory of the expectation-maximization (EM) algorithm for inferring high dimensional latent variable models. In particular, we make two contributions: (i) For parameter estimation, we propose a novel high dimensional EM algorithm which naturally incorporates sparsity structure into parameter estimation. For a broad family of statistical models, our framework establishes the first computationally feasible approach for optimal estimation and asymptotic inference in high dimensions. Papers published at the Neural Information Processing Systems Conference.