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Test on components of mixture densities

Author

Listed:
  • Autin Florent

    (Université Aix-Marseille 1, C.M.I., Marseille Cedex 13, Frankreich)

  • Pouet Christophe

Abstract

This paper deals with statistical tests on the components of mixture densities. We propose to test whether the densities of two independent samples of independent random variables Y1,...,Yn and Z1,...,Zn result from the same mixture of M components or not. We provide a test procedure which is proved to be asymptotically optimal according to the minimax setting. We extensively discuss the connection between the mixing weights and the performance of the testing procedure; this link had never been clearly established up to now.

Suggested Citation

  • Autin Florent & Pouet Christophe, 2011. "Test on components of mixture densities," Statistics & Risk Modeling, De Gruyter, vol. 28(4), pages 389-410, December.
    • Handle: RePEc:bpj:strimo:v:28:y:2011:i:4:p:389-410:n:2
    DOI: 10.1524/strm.2011.1065
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    References listed on IDEAS

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    1. V. D. Geer, S., 1995. "Asymptotic Normality in Mixture Models," SFB 373 Discussion Papers 1995,12, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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