Maximum Likelihood Estimation of the Multivariate Normal Mixture Model

被引：70

作者：

Boldea, Otilia ^{[1
]}

Magnus, Jan R. ^{[1
]}

机构：

[1] Tilburg Univ, Dept Econometr & OR, NL-5000 LE Tilburg, Netherlands

来源：

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION | 2009年 / 104卷 / 488期

关键词：

Information matrix; Maximum likelihood; Mixture model; INFORMATION MATRIX;

D O I：

10.1198/jasa.2009.tm08273

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The Hessian of the multivariate normal mixture model is derived, and estimators of the information matrix are obtained, thus enabling consistent estimation of all parameters and their precisions. The usefulness of the new theory is illustrated with two examples and some simulation experiments. The newly proposed estimators appear to be superior to the existing ones.

引用

页码：1539 / 1549

页数：11

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