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Maximum likelihood estimation of the multivariate normal mixture model

Author

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  • Boldea, O.

    (Tilburg University, School of Economics and Management)

  • Magnus, J.R.

    (Tilburg University, School of Economics and Management)

Abstract

The Hessian of the multivariate normal mixture model is derived, and estimators of the information matrix are obtained, thus enabling consistent estimation of all parameters and their precisions. The usefulness of the new theory is illustrated with two examples and some simulation experiments. The newly proposed estimators appear to be superior to the existing ones.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Boldea, O. & Magnus, J.R., 2009. "Maximum likelihood estimation of the multivariate normal mixture model," Other publications TiSEM c5d9a58c-6bc2-4098-bfed-d, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:c5d9a58c-6bc2-4098-bfed-d9382b099a18
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    References listed on IDEAS

    as
    1. Chesher, Andrew, 1983. "The information matrix test : Simplified calculation via a score test interpretation," Economics Letters, Elsevier, vol. 13(1), pages 45-48.
    2. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
    3. Lancaster, Tony, 1984. "The Covariance Matrix of the Information Matrix Test," Econometrica, Econometric Society, vol. 52(4), pages 1051-1053, July.
    4. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
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    More about this item

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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