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http://dx.doi.org/10.5351/CKSS.2011.18.3.357

Estimating Parameters in Muitivariate Normal Mixtures  

Ahn, Sung-Mahn (College of Business Administration, Kookmin University)
Baik, Sung-Wook (School of Computer Engineering, Sejong University)
Publication Information
Communications for Statistical Applications and Methods / v.18, no.3, 2011 , pp. 357-365 More about this Journal
Abstract
This paper investigates a penalized likelihood method for estimating the parameter of normal mixtures in multivariate settings with full covariance matrices. The proposed model estimates the number of components through the addition of a penalty term to the usual likelihood function and the construction of a penalized likelihood function. We prove the consistency of the estimator and present the simulation results on the multi-dimensional nor-mal mixtures up to the 8-dimension.
Keywords
Multivariate normal mixtures; penalized likelihood; consistency of estimator;
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