Iteration

Although $ I_{\theta{\bf a}}$ is non-zero, we can ignore it and update $ \theta$ independently, then update $ {\bf a},\sigma^2$ as in (4.2), (4.3). The algorithm is
  1. Initialize $ \hat{\mbox{\boldmath $\theta$}}, \hat{{\bf a}}, \hat{\sigma}^2$. Set iteration number $ n=1$.
  2. Compute $ \delta$$ _\theta$ and $ I_\theta$.
  3. Update $ \theta$:

    $ \theta$$\displaystyle _{n+1}=$$ \theta$$\displaystyle _{n}+(I_\theta)^{-1}$   $ \delta$$\displaystyle _\theta.$

  4. Update $ {\bf a},\sigma^2$ using (4.2), (4.3).
  5. Repeat.



Baggenstoss 2017-05-19