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Degeneracy in the maximum likelihood estimation of univariate Gaussian mixtures with EM

Christophe Biernacki and Stéphane Chrétien

Statistics & Probability Letters, 2003, vol. 61, issue 4, 373-382

Abstract: As is well known, the likelihood in the Gaussian mixture is unbounded for any parameters such that a Dirac is placed at any observed sample point. The behavior of the EM algorithm near a degenerated solution is studied. It is established that there exists a domain of attraction around degeneracy and that convergence to these particular solutions is extremely fast. It confirms what many practitioners already noted in their experiments. Some available proposals to avoid degenerating are discussed but the presented convergence results make it possible to defend the pragmatic approach to the degeneracy problem in EM which consists in random restarts.

Keywords: Degeneracy; Maximum; likelihood; EM; algorithm; Gaussian; mixtures; Speed; of; convergence (search for similar items in EconPapers)
Date: 2003
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Handle: RePEc:eee:stapro:v:61:y:2003:i:4:p:373-382