Types of likelihood maxima in mixture models and their implication on the performance of tests

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Autor/in:
Erscheinungsjahr:
2004
Medientyp:
Text
Schlagworte:
  • EM algorithm
  • Likelihood equation
  • Likelihood function
  • Likelihood ratio tests
  • Mixture models
  • Multiple maxima
  • Spurious solutions
  • Starting values
Beschreibung:
  • In two-component mixtures of exponential distributions, different strategies for starting the likelihood maximization algorithm converge to different types of maxima. The power of an LR test of homogeneity against such a mixture strongly depends on the considered strategy, and global maximization need not result in the largest power. An explanation is given on basis of a systematic investigation of the likelihood function in a large number of simulations, using a variety of diagnostic tools. Thereby, we also gain a deeper insight into the properties of the samples that generate particular types of solutions of the likelihood equation. In particular, "spurious solutions" often occur; these are mainly responsible for the fact that global maximization may not result in a statistically meaningful estimator. Removing the smallest elements of a sample may drastically increase the power of previously inferior strategies. © 2004 The Institute of Statistical Mathematics.
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  • info:eu-repo/semantics/closedAccess
Quellsystem:
Forschungsinformationssystem der UHH
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oai:www.edit.fis.uni-hamburg.de:publications/de932cb1-752a-472f-af04-5ed1da66ddd5