Mathematics – Statistics Theory
Scientific paper
2007-10-11
Scandinavian Journal of Statistics, 36, (2009), 171-184
Mathematics
Statistics Theory
29 pages, 2 figures
Scientific paper
10.1111/j.1467-9469.2008.00615.x
In finite mixtures of location-scale distributions, if there is no constraint or penalty on the parameters, then the maximum likelihood estimator does not exist because the likelihood is unbounded. To avoid this problem, we consider a penalized likelihood, where the penalty is a function of the minimum of the ratios of the scale parameters and the sample size. It is shown that the penalized maximum likelihood estimator is strongly consistent. We also analyze the consistency of a penalized maximum likelihood estimator where the penalty is imposed on the scale parameters themselves.
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