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Inference for multivariate normal mixtures

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  • Chen, Jiahua
  • Tan, Xianming

Abstract

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 likelihood-based 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 when the number of components has a known upper bound. We also explore a convenient EM-algorithm for computing the maximum penalized likelihood estimator. Extensive simulations are conducted to explore the effectiveness and the practical limitations of both the new method and the ratified maximum likelihood estimators. Guidelines are provided based on the simulation results.

Suggested Citation

  • Chen, Jiahua & Tan, Xianming, 2009. "Inference for multivariate normal mixtures," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1367-1383, August.
    • Handle: RePEc:eee:jmvana:v:100:y:2009:i:7:p:1367-1383
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    References listed on IDEAS

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    1. Salvatore Ingrassia, 2004. "A likelihood-based constrained algorithm for multivariate normal mixture models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 13(2), pages 151-166, September.
    2. Tadesse, Mahlet G. & Sha, Naijun & Vannucci, Marina, 2005. "Bayesian Variable Selection in Clustering High-Dimensional Data," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 602-617, June.
    3. Raftery, Adrian E. & Dean, Nema, 2006. "Variable Selection for Model-Based Clustering," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 168-178, March.
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    Cited by:

    1. Chaofeng Yuan & Wensheng Zhu & Xuming He & Jianhua Guo, 2019. "A mixture factor model with applications to microarray data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(1), pages 60-76, March.
    2. Paul Schrimpf & Michio Suzuki & Hiroyuki Kasahara, 2015. "Identification and Estimation of Production Function with Unobserved Heterogeneity," 2015 Meeting Papers 924, Society for Economic Dynamics.
    3. Seo, Byungtae & Lindsay, Bruce G., 2010. "A computational strategy for doubly smoothed MLE exemplified in the normal mixture model," Computational Statistics & Data Analysis, Elsevier, vol. 54(8), pages 1930-1941, August.
    4. Roberto Rocci & Stefano Antonio Gattone & Roberto Di Mari, 2018. "A data driven equivariant approach to constrained Gaussian mixture modeling," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 12(2), pages 235-260, June.
    5. Arun Kumar Kuchibhotla & Somabha Mukherjee & Ayanendranath Basu, 2019. "Statistical inference based on bridge divergences," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(3), pages 627-656, June.
    6. Heather Shappell & Sean L. Simpson, 2022. "Discussion on “Distributional independent component analysis for diverse neuroimaging modalities” by Ben Wu, Subhadip Pal, Jian Kang, and Ying Guo," Biometrics, The International Biometric Society, vol. 78(3), pages 1106-1108, September.
    7. Mingxing He & Jiahua Chen, 2022. "Consistency of the MLE under a two-parameter Gamma mixture model with a structural shape parameter," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(8), pages 951-975, November.
    8. Kim, Daeyoung & Seo, Byungtae, 2014. "Assessment of the number of components in Gaussian mixture models in the presence of multiple local maximizers," Journal of Multivariate Analysis, Elsevier, vol. 125(C), pages 100-120.
    9. Nicolas Depraetere & Martina Vandebroek, 2014. "Order selection in finite mixtures of linear regressions," Statistical Papers, Springer, vol. 55(3), pages 871-911, August.
    10. Seo, Byungtae & Kim, Daeyoung, 2012. "Root selection in normal mixture models," Computational Statistics & Data Analysis, Elsevier, vol. 56(8), pages 2454-2470.
    11. Mingxing He & Jiahua Chen, 2022. "Strong consistency of the MLE under two-parameter Gamma mixture models with a structural scale parameter," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 16(1), pages 125-154, March.
    12. Kasa, Siva Rajesh & Rajan, Vaibhav, 2022. "Improved Inference of Gaussian Mixture Copula Model for Clustering and Reproducibility Analysis using Automatic Differentiation," Econometrics and Statistics, Elsevier, vol. 22(C), pages 67-97.
    13. Hiroyuki Kasahara & Katsumi Shimotsu, 2017. "Testing the Order of Multivariate Normal Mixture Models," CIRJE F-Series CIRJE-F-1044, CIRJE, Faculty of Economics, University of Tokyo.
    14. Ray, Surajit & Ren, Dan, 2012. "On the upper bound of the number of modes of a multivariate normal mixture," Journal of Multivariate Analysis, Elsevier, vol. 108(C), pages 41-52.
    15. Shiyao Liu & Huaiqing Wu & William Q. Meeker, 2015. "Understanding and Addressing the Unbounded "Likelihood" Problem," The American Statistician, Taylor & Francis Journals, vol. 69(3), pages 191-200, August.
    16. Yu Hao & Hiroyuki Kasahara, 2022. "Testing the Number of Components in Finite Mixture Normal Regression Model with Panel Data," Papers 2210.02824, arXiv.org, revised Jun 2023.
    17. Ingrassia, Salvatore & Rocci, Roberto, 2011. "Degeneracy of the EM algorithm for the MLE of multivariate Gaussian mixtures and dynamic constraints," Computational Statistics & Data Analysis, Elsevier, vol. 55(4), pages 1715-1725, April.
    18. Holzmann, Hajo & Schwaiger, Florian, 2016. "Testing for the number of states in hidden Markov models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 318-330.
    19. Alexandrovich, Grigory, 2014. "A note on the article ‘Inference for multivariate normal mixtures’ by J. Chen and X. Tan," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 245-248.

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