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A constrained maximum likelihood estimation for skew normal mixtures

Author

Listed:
  • Libin Jin

    (Shanghai Lixin University of Accounting and Finance)

  • Sung Nok Chiu

    (Hong Kong Baptist University)

  • Jianhua Zhao

    (Yunnan University of Finance and Economics)

  • Lixing Zhu

    (Hong Kong Baptist University
    Yunnan University of Finance and Economics)

Abstract

For a finite mixture of skew normal distributions, the maximum likelihood estimator is not well-defined because of the unboundedness of the likelihood function when scale parameters go to zero and the divergency of the skewness parameter estimates. To overcome these two problems simultaneously, we propose constrained maximum likelihood estimators under constraints on both the scale parameters and the skewness parameters. The proposed estimators are consistent and asymptotically efficient under relaxed constraints on the scale and skewness parameters. Numerical simulations show that in finite sample cases the proposed estimators outperform the ordinary maximum likelihood estimators. Two real datasets are used to illustrate the success of the proposed approach.

Suggested Citation

  • Libin Jin & Sung Nok Chiu & Jianhua Zhao & Lixing Zhu, 2023. "A constrained maximum likelihood estimation for skew normal mixtures," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 86(4), pages 391-419, May.
    • Handle: RePEc:spr:metrik:v:86:y:2023:i:4:d:10.1007_s00184-022-00873-2
    DOI: 10.1007/s00184-022-00873-2
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    References listed on IDEAS

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    7. Prates, Marcos Oliveira & Lachos, Victor Hugo & Barbosa Cabral, Celso Rômulo, 2013. "mixsmsn: Fitting Finite Mixture of Scale Mixture of Skew-Normal Distributions," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 54(i12).
    8. Cabral, Celso Rômulo Barbosa & Lachos, Víctor Hugo & Prates, Marcos O., 2012. "Multivariate mixture modeling using skew-normal independent distributions," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 126-142, January.
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