Likelihood ratio tests of the number of components in a normal mixture with unequal variances

Yungtai Lo

Statistics & Probability Letters, 2005, vol. 71, issue 3, 225-235

Abstract: Determining the number of components in a mixture distribution is of interest to researchers in many areas. In this paper, we investigate the statistical properties of a likelihood ratio test proposed by Lo et al. (Biometrika 88 (2001) 767) for determining the number of components in a normal mixture with unequal variances. We discuss the dependence of the rate of convergence of the likelihood ratio statistic to its limiting distribution on the choice of restrictions imposed on the component variances to deal with the problem of unboundedness of the likelihood. We compare the test procedure to the parametric bootstrap method and posterior predictive checks, a Bayesian model checking procedure.

Keywords: Likelihood; ratio; test; Normal; mixture; Bootstrap; test; Posterior; predictive; checks (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (3)

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