Estimating Parameters in Muitivariate Normal Mixtures
SungMahn Ahn, Sung Wook Baik · Communications for Statistical Applications and Methods · 2011
This paper investigates a penalized likelihood method for estimating the parameter of normal mixtures in multivariate settings with full covariance matrices. The proposed model estimates the number of components through the addition of a penalty term to the usual likelihood function and the construction of a penalized likelihood function. We prove the consistency of the estimator and present the simulation results on the multi-dimensional nor-mal mixtures up to the 8-dimension.