Uniform Convergence Rates for Maximum Likelihood Estimation under Two-Component Gaussian Mixture Models

06/01/2020
by   Tudor Manole, et al.
0

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.

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Code Repositories

Gaussian-mixture-twocomp

Code repository for reproducing the simulation study in the paper "Uniform Convergence Rates for Maximum Likelihood Estimation under Two-Component Gaussian Mixture Models".


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