1. On consistency of the MLE under finite mixtures of location-scale distributions with a structural parameter.
- Author
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Liu, Guanfu, Li, Pengfei, Liu, Yukun, and Pu, Xiaolong
- Subjects
- *
MAXIMUM likelihood statistics , *PARAMETERS (Statistics) , *LOGISTICS , *ELLIPTICAL plasmas , *FINITE mixture models (Statistics) - Abstract
Abstract We provide a general and rigorous proof for the strong consistency of maximum likelihood estimators of the cumulative distribution function of the mixing distribution and structural parameter under finite mixtures of location-scale distributions with a structural parameter. The consistency results do not require the parameter space of location and scale to be compact. We illustrate the results by applying them to finite mixtures of location-scale distributions with the component density function being one of the commonly used density functions: normal, logistic, extreme-value, or t. An extension of the strong consistency results to finite mixtures of multivariate elliptical distributions is also discussed. Highlights • We study finite mixtures of location-scale distributions with a structural parameter. • We establish the strong consistency of maximum likelihood estimators. • The consistency results do not require the parameter space to be compact. • We extend the results to finite mixtures of multivariate elliptical distributions. [ABSTRACT FROM AUTHOR]
- Published
- 2019
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