Strong consistency of the maximum likelihood estimator for finite mixtures of location-scale distributions when the scale parameters are exponentially small

DOI10.3150/BJ/1165269148MaRDI QIDQ2642801zbMATHOpenAlexFDO

Authors Kentaro Tanaka, Akimichi Takemura

Publication date 5 September 2007

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0605148

zbMATH Keywords

consistencymaximum likelihood estimatormixture distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Parametric inference under constraints (62F30)

Abstract: In a finite mixture of location-scale distributions maximum likelihood estimator does not exist because of the unboundedness of the likelihood function when the scale parameter of some mixture component approaches zero. In order to study the strong consistency of maximum likelihood estimator, we consider the case that the scale parameters of the component distributions are restricted from below by $c_n$, where $c_n$ is a sequence of positive real numbers which tend to zero as the sample size $n$ increases. We prove that under mild regularity conditions maximum likelihood estimator is strongly consistent if the scale parameters are restricted from below by $c_n=exp(-n^d)$, $0<d<1$.

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• Strong consistency of the maximum likelihood estimator for finite mixtures of location-scale distributions when the scale parameters are exponentially small

Cited in

(21)

• Eigenvalues and constraints in mixture modeling: geometric and computational issues
• Strong consistency of the MLE under two-parameter Gamma mixture models with a structural scale parameter
• Asymptotic properties of the estimator for a finite mixture of exponential dispersion models
• Inference of finite mixture models and the effect of binning
• Maximum likelihood estimators in finite mixture models with censored data
• A data driven equivariant approach to constrained Gaussian mixture modeling
• A computational strategy for doubly smoothed MLE exemplified in the normal mixture model
• Consistency of the MLE under a two-parameter gamma mixture model with a structural shape parameter
• Estimation and computations for Gaussian mixtures with uniform noise under separation constraints
• A CLASSICAL INVARIANCE APPROACH TO THE NORMAL MIXTURE PROBLEM
• Maximum likelihood estimation of heterogeneous mixtures of Gaussian and uniform distributions
• Assessment of the number of components in Gaussian mixture models in the presence of multiple local maximizers
• Semiparametric mixture: continuous scale mixture approach
• Strong consistency of the maximum likelihood estimator for finite mixtures of location-scale distributions when the scale parameters are exponentially small
• Root selection in normal mixture models
• Strong consistency of MLE for finite uniform mixtures when the scale parameters are exponentially small
• Strong consistency of the maximum likelihood estimator for finite mixtures of location-scale distributions when penalty is imposed on the ratios of the scalar parameter
• On consistency of the MLE under finite mixtures of location-scale distributions with a structural parameter
• Consistency of the penalized MLE for two-parameter gamma mixture models
• A new look at the inverse Gaussian distribution with applications to insurance and economic data
• Consistency of Maximum Likelihood Estimators in Finite Mixture Models of the Union of W-type Families

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