Penalized Maximum Likelihood Estimation for univariate normal mixture distributions
Due to singularities of the likelihood function, the maximum likelihood approach for the estimation of the parameters of normal mixture models is an acknowledged ill posed optimization problem. Ill posedness is solved by penalizing the likelihood function. In the Bayesian framework, it amounts to incorporating an inverted gamma prior in the likelihood function. A penalized version of the EM algorithm is derived, which is still explicit and which intrinsically assures that the estimates are not singular. Numerical evidence of the latter property is put forward with a test.
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Record created on 2005-09-16, modified on 2016-08-08