Maximum Likelihood Estimation of the Multivariate Normal Mixture Model
Maximum Likelihood Estimation of the Multivariate Normal Mixture Model
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DOI：
10.1198/jasa.2009.tm08273
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发表时间：
2009-12-01
影响因子：
3.7
通讯作者：
Magnus, Jan R.
中科院分区：
文献类型：
--
作者：
Boldea, Otilia;Magnus, Jan R.
导出了多元正态混合模型的Hessian估计，得到了信息矩阵的估计，从而使所有参数的估计及其精度具有一致性。新理论的实用性说明了两个例子和一些模拟实验。新提出的估计似乎是上级现有的。
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.