Maximum Likelihood Estimation of the Multivariate Normal Mixture Model

Otilia Boldea and Jan Magnus ()

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: Mixture model; Maximum likelihood; Information matrix (search for similar items in EconPapers)
JEL-codes: C10 C13 C15 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (30)

Published in Journal of the American Statistical Association 488.104(2009): pp. 1539-1549

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Related works:
Journal Article: Maximum Likelihood Estimation of the Multivariate Normal Mixture Model (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:23149

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