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Regularized expectation maximization algorithm

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Regularized expectation maximization (RegEM) algorithm is an extension of the [WWW]expectation-maximization (EM) algorithm developed by [WWW]Tapio Schneider. It has been used in several multiproxy reconstructions being the current favorite of [WWW]Michael E. Mann and his co-authors. Its use has become controversial, and the consensus at CA is that "The Team" uses RegEM because they like the results, not because they understand the statistics. See, for example, [WWW]Smerdon et al 2008 on RegEM and other nearby threads.

RegEM is described in Schneider, T., 2001: [WWW]Analysis of incomplete climate data: Estimation of mean values and covariance matrices and imputation of missing values, Journal of Climate, 14, 853–871. [WWW]Matlab Implementation is available from Schneider's homepage.

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