Consistent Order Estimation and Minimal Penalties
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Publication:2989433
DOI10.1109/TIT.2012.2221122zbMATH Open1364.62078arXiv1002.1280MaRDI QIDQ2989433FDOQ2989433
Authors: Elisabeth Gassiat, Ramon van Handel 
Publication date: 8 June 2017
Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)
Abstract: Consider an i.i.d. sequence of random variables whose distribution f* lies in one of a nested family of models M_q, q>=1. The smallest index q* such that M_{q*} contains f* is called the model order. We establish strong consistency of the penalized likelihood order estimator in a general setting with penalties of order eta(q) log log n, where eta(q) is a dimensional quantity. Moreover, such penalties are shown to be minimal. In contrast to previous work, an a priori upper bound on the model order is not assumed. The results rely on a sharp characterization of the pathwise fluctuations of the generalized likelihood ratio statistic under entropy assumptions on the model classes. Our results are applied to the geometrically complex problem of location mixture order estimation, which is widely used but poorly understood.
Full work available at URL: https://arxiv.org/abs/1002.1280
Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Strong limit theorems (60F15)
Cited In (5)
- Functional Finite Mixture Regression Models
- The local geometry of finite mixtures
- Strong identifiability and optimal minimax rates for finite mixture estimation
- Will the PLS criterion for order estimation work with AML and a posteriori prediction error?
- Optimal estimation of high-dimensional Gaussian location mixtures
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