Inference for multivariate normal mixtures

@article{Chen2009InferenceFM,
  title={Inference for multivariate normal mixtures},
  author={Jiahua Chen and Xianming Tan},
  journal={J. Multivariate Analysis},
  year={2009},
  volume={100},
  pages={1367-1383}
}
Multivariate normal mixtures provide a flexible model for high-dimensional data. They are widely used in statistical genetics, statistical finance, and other disciplines. Due to the unboundedness of the likelihood function, classical likelihoodbased methods, which may have nice practical properties, are inconsistent. In this paper, we recommend a penalized likelihood method for estimating the mixing distribution. We show that the maximum penalized likelihood estimator is strongly consistent… CONTINUE READING
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