A Cautionary Note on Likelihood Ratio Tests in Mixture Models |
| |
| Authors: | Wilfried Seidel Karl Mosler Manfred Alker |
| |
| Institution: | (1) Fachbereich Wirtschafts- und Organisationswissenschaften, Universität der Bundeswehr Hamburg, D-22039 Hamburg, Germany;(2) Seminar für Wirtschafts- und Sozialstatistik, Universität zu Köln, D-50923 Köln, Germany |
| |
| Abstract: | We show that iterative methods for maximizing the likelihood in a mixture of exponentials model depend strongly on their particular implementation. Different starting strategies and stopping rules yield completely different estimators of the parameters. This is demonstrated for the likelihood ratio test of homogeneity against two-component exponential mixtures, when the test statistic is calculated by the EM algorithm. |
| |
| Keywords: | EM algorithm exponential mixture models initial values stopping criteria maximum likelihood estimation likelihood ratio test |
| 本文献已被 SpringerLink 等数据库收录！ |
