MEASURING THE RELATIVE EFFECTIVENESS OF MOMENT ESTIMATORS AS STARTING VALUES IN MAXIMIZING LIKELIHOODS

被引：16

作者：

FURMAN, WD

LINDSAY, BG

机构：

[1] BABSON COLL,BABSON PK,MA 02157

[2] PENN STATE UNIV,UNIV PK,PA 16802

来源：

COMPUTATIONAL STATISTICS & DATA ANALYSIS | 1994年 / 17卷 / 05期

基金：

美国国家科学基金会;

关键词：

MAXIMUM LIKELIHOOD ESTIMATION; MIXTURE OF NORMAL DISTRIBUTIONS; MOMENT MATRICES; DETERMINANTS; STARTING VALUES;

D O I：

10.1016/0167-9473(94)90145-7

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

We consider the vexing computational problem of estimating the parameters of a mixture of two normal distributions with equal variances using maximum likelihood estimation- As a partial solution we reconsider the strongly consistent moment estimators as starting values for the likelihood maximization algorithms. Using a technique based on the determinantal properties of certain matrices of moments one can solve the moment equations in a surprisingly straightforward manner. Finally, our simulation results indicate that the moment estimators compare favorably to the actual values of the parameters in terms of their effectiveness as starting values in maximizing mixture likelihoods.

引用

页码：493 / 507

页数：15

共 25 条

[11] TESTING FOR THE NUMBER OF COMPONENTS IN A MIXTURE OF NORMAL-DISTRIBUTIONS USING MOMENT ESTIMATORS [J].