题目： Model Selection for Gaussian Mixture Models

嘉宾：彭衡教授（香港浸会大学数学系）

时间：2016年3月15日（周二）16:30-17:30

地点：管理科研楼一楼EMBA第二教室

单位：管理学院统计与金融系、安徽省金融信息重点实验室

摘要：This talk is concerned with an important issue in finite mixture modeling, namely the selection of the number of mixing components. A new penalized likelihood method is proposed for finite multivariate Gaussian mixture models, and it is shown to be statistically consistent in determining the number of components. A modified EM algorithm is developed to simultaneously select the number of components and estimate the mixing probabilities and the unknown parameters of Gaussian distributions. Simulations and a real data analysis are presented to illustrate the performance of the proposed method.