Uniform Convergence Rates for Maximum Likelihood Estimation under Two-Component Gaussian Mixture Models
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Publication:6341797
arXiv2006.00704MaRDI QIDQ6341797
Nhat Ho, Tudor Manole
Publication date: 1 June 2020
Abstract: We derive uniform convergence rates for the maximum likelihood estimator and minimax lower bounds for parameter estimation in two-component location-scale Gaussian mixture models with unequal variances. We assume the mixing proportions of the mixture are known and fixed, but make no separation assumption on the underlying mixture components. A phase transition is shown to exist in the optimal parameter estimation rate, depending on whether or not the mixture is balanced. Key to our analysis is a careful study of the dependence between the parameters of location-scale Gaussian mixture models, as captured through systems of polynomial equalities and inequalities whose solution set drives the rates we obtain. A simulation study illustrates the theoretical findings of this work.
Has companion code repository: https://github.com/tmanole/Gaussian-mixture-twocomp
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