A note on the article ‘Inference for multivariate normal mixtures’ by J. Chen and X. Tan

The current note discusses the consistency proof for the penalized maximum likelihood estimator of a Gaussian mixture from the paper ‘Inference for multivariate normal mixtures’ by J. Chen and X. Tan. A soft spot in that proof is identified and a rigorous alternative proof based on a uniform law of iterated logarithm is given.

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Year of publication:	2014
Authors:	Alexandrovich, Grigory
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 129.2014, C, p. 245-248
Publisher:	Elsevier
Subject:	Gaussian mixtures \| Penalized maximum likelihood estimation \| Law of iterated logarithm for VC classes \| Strong consistency

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010786418