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Convergence properties of a general algorithm for calculating variational Bayesian estimates for a normal mixture model. (English) Zbl 1331.62168

Summary: In this paper we propose a generalised iterative algorithm for calculating variational Bayesian estimates for a normal mixture model and investigate its convergence properties. It is shown theoretically that the variational Bayesian estimator converges locally to the maximum likelihood estimator at the rate of \(O(1/n)\) in the large sample limit.

MSC:

62F15 Bayesian inference
62F10 Point estimation