Maximum Likelihood Estimation of the Multivariate Normal Mixture Model

• 成果类型: Article
• 署名作者: Boldea, Otilia; Magnus, Jan R.
• 署名单位: Tilburg University
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1198/jasa.2009.tm08273
• 发表日期: 2009
• 页码: 1539-1549
• 关键词: information matrix

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.