Choosing the Tuning Constant by Laplace Approximation Ahn, Sung-Mahn; Kwon, Suhn-Beom;
Evidence framework enables us to determine the tuning constant in a penalized likelihood formula. We apply the framework to the estimating parameters of normal mixtures. Evidence, which is a solely data-dependent measure, can be evaluated by Laplace approximation. According to a synthetic data simulation, we found that the proper values of the tuning constant can be systematically obtained.