Communications for Statistical Applications and Methods

  • 제16권4호
  • /
  • Pages.573-578
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  • 2009
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  • 2287-7843(pISSN)
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  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
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벌점가능추정치의 일치성에 대하여

Note on the Consistency of a Penalized Maximum Likelihood Estimate

  • Ahn, Sung-Mahn (College of Business Administration, Kookmin University)
  • 발행 : 2009.07.31
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⟨ 이전 논문 다음 논문 ⟩

초록

본 논문에서는 과대적합모형을 가정하여 성분의 수에 대한 벌점항목을 추가한 Ahn (2001)의 벌점가능도에 의한 추정치가 일치성을 달성하는 것에 대한 증명을 제시하였다. Wald (1949)의 조건을 만족하는 지를 보이기 위하여 과대적합모형를 활용하였다. 또한 모수가 한계점으로 수렴할 경우 우도값이 무한대로 간다는 문제점을 해결하였다.

We prove the consistency of a penalized maximum likelihood estimate proposed by Ahn (2001). The PMLE not only avoids the well-known problem that the ordinary likelihood of the normal mixture model is unbounded for any given sample size, but also removes redundant components.

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참고문헌

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