Choosing the Tuning Constant by Laplace Approximation
Sung-Mahn Ahn, Suhn-Beom Kwon · Communications for Statistical Applications and Methods · 2012
Evidence framework enables us to determine the tuning constant in a penalized likelihood formula. We apply the framework to the estimating parameters of normal mixtures. Evidence, which is a solely data-dependent measure, can be evaluated by Laplace approximation. According to a synthetic data simulation, we found that the proper values of the tuning constant can be systematically obtained.