High Dimensional EM Algorithm: Statistical Optimization and Asymptotic Normality ⇤ Zhaoran Wang Quanquan Gu Yang Ning Han Liu Princeton University University of Virginia Princeton University

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.