Penalized maximum likelihood estimation for skew normal mixtures

DOI10.1360/SCM-2018-0256MaRDI QIDQ5064119zbMATH OpenWikidataFDO

Authors Libin Jin, Li-Xing Zhu, Wangli Xu, Li-Ping Zhu

Publication date 21 March 2022

Published in SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1608.01513

zbMATH Keywords

boundary estimatorlikelihood degeneracypenalized MLEskew normal mixturesstrong consistency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12)

Abstract: Skew normal mixture models provide a more flexible framework than the popular normal mixtures for modelling heterogeneous data with asymmetric behaviors. Due to the unboundedness of likelihood function and the divergency of shape parameters, the maximum likelihood estimators of the parameters of interest are often not well defined, leading to dissatisfactory inferential process. We put forward a proposal to deal with these issues simultaneously in the context of penalizing the likelihood function. The resulting penalized maximum likelihood estimator is proved to be strongly consistent when the putative order of mixture is equal to or larger than the true one. We also provide penalized EM-type algorithms to compute penalized estimators. Finite sample performances are examined by simulations and real data applications and the comparison to the existing methods.

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(7)

• Penalized maximum likelihood method to a class of skewness data analysis
• Testing the skewness of skew-normal distribution by Bayes factors
• Penalized Maximum Likelihood Estimator for Normal Mixtures
• Penalized maximum likelihood estimator for finite multivariate skew normal mixtures
• Bootstrap approaches for homogeneous test of location parameters under skew-normal settings
• A constrained maximum likelihood estimation for skew normal mixtures
• A penalized likelihood estimation for mixture regressions with skew-normal errors

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