The Annals of Statistics

Convergence rates of parameter estimation for some weakly identifiable finite mixtures

Nhat Ho and XuanLong Nguyen

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Abstract

We establish minimax lower bounds and maximum likelihood convergence rates of parameter estimation for mean-covariance multivariate Gaussian mixtures, shape-rate Gamma mixtures and some variants of finite mixture models, including the setting where the number of mixing components is bounded but unknown. These models belong to what we call “weakly identifiable” classes, which exhibit specific interactions among mixing parameters driven by the algebraic structures of the class of kernel densities and their partial derivatives. Accordingly, both the minimax bounds and the maximum likelihood parameter estimation rates in these models, obtained under some compactness conditions on the parameter space, are shown to be typically much slower than the usual $n^{-1/2}$ or $n^{-1/4}$ rates of convergence.

Article information

Source
Ann. Statist., Volume 44, Number 6 (2016), 2726-2755.

Dates
Received: February 2015
Revised: January 2016
First available in Project Euclid: 23 November 2016

Permanent link to this document
https://projecteuclid.org/euclid.aos/1479891633

Digital Object Identifier
doi:10.1214/16-AOS1444

Mathematical Reviews number (MathSciNet)
MR3576559

Zentralblatt MATH identifier
1359.62076

Subjects
Primary: 62F15: Bayesian inference 62G05: Estimation
Secondary: 62G20: Asymptotic properties

Keywords
Mixture models strong identifiability weak identifiability Wasserstein distances minimax bounds maximum likelihood estimation system of polynomial equations

Citation

Ho, Nhat; Nguyen, XuanLong. Convergence rates of parameter estimation for some weakly identifiable finite mixtures. Ann. Statist. 44 (2016), no. 6, 2726--2755. doi:10.1214/16-AOS1444. https://projecteuclid.org/euclid.aos/1479891633


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Supplemental materials

  • Supplement to “Convergence rates of parameter estimation for some weakly identifiable finite mixtures”. In this supplemental material, we present the proofs of several remaining technical lemmas.