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

DOI10.3150/BJ/1165269148zbMATH Open1117.62025arXivmath/0605148OpenAlexW2054231149MaRDI QIDQ2642801FDOQ2642801

Authors: Kentaro Tanaka, Akimichi Takemura 

Publication date: 5 September 2007

Published in: Bernoulli (Search for Journal in Brave)

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 $c_n=exp(-n^d)$, $0<d<1$.

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

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zbMATH Keywords

consistencymaximum likelihood estimatormixture distribution

Mathematics Subject Classification ID

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

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Cited In (21)

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

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