Maximum Likelihood Estimation of the Multivariate Normal Mixture Model

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.

MoreLess

Year of publication:	2009
Authors:	Boldea, Otilia ; Magnus, Jan R.
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Mixture model \| Maximum likelihood \| Information matrix

More details

Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Notes:	Published in Journal of the American Statistical Association 488.104(2009): pp. 1539-1549
Classification:	C13 - Estimation ; C10 - Econometric and Statistical Methods: General. General ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008568339