Journal
JOURNAL OF MULTIVARIATE ANALYSIS
Volume 100, Issue 2, Pages 257-265Publisher
ELSEVIER INC
DOI: 10.1016/j.jmva.2008.04.010
Keywords
EM algorithm; Multivariate truncated normal distributions; Skew normal mixtures; Stochastic representation
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This paper provides a flexible mixture modeling framework using the multivariate skew normal distribution. A feasible EM algorithm is developed for finding the maximum likelihood estimates of parameters in this context. A general information-based method for obtaining the asymptotic covariance matrix of the maximum likelihood estimators is also presented. The proposed methodology is illustrated with a real example and results are also compared with those obtained from fitting normal Mixtures. (C) 2008 Elsevier Inc. All rights reserved.
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