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.

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Year of publication:	2009
Authors:	Boldea, Otilia ; Magnus, Jan R.

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Boldea, Otilia and Magnus, Jan R. (2009): Maximum Likelihood Estimation of the Multivariate Normal Mixture Model. Published in: Journal of the American Statistical Association , Vol. 104, No. 488 (2009): pp. 1539-1549.
Classification:	C13 - Estimation ; C10 - Econometric and Statistical Methods: General. General ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	BASE

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015221913