Maximum Likelihood Estimation of the Multivariate Normal Mixture Model
| Autor: | Jan R. Magnus, Otilia Boldea |
|---|---|
| Rok vydání: | 2009 |
| Předmět: |
Statistics and Probability
Hessian matrix Estimation theory Estimator jel:C13 Multivariate normal distribution jel:C10 Maximum likelihood sequence estimation Mixture model jel:C15 symbols.namesake Maximum likelihood Information matrix Statistics symbols Applied mathematics Statistics Probability and Uncertainty Statistical theory Fisher information Mathematics |
| Zdroj: | Journal of the American Statistical Association. 104(488):1539-1549 |
| DOI: | 10.1198/jasa.2009.tm08273 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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