Testing the Order of Multivariate Normal Mixture Models

Hiroyuki Kasahara and Katsumi Shimotsu
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Katsumi Shimotsu: Faculty of Economics, The University of Tokyo

No CIRJE-F-1044, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: Testing the number of components in multivariate normal mixture models is a long-standing challenge. This paper develops a likelihood-based test of the null hypothesis of M 0 components against the alternative hypothesis of M 0 + 1 components. We derive a local quadratic approximation of the likelihood ratio statistic in terms of the polynomials of the parameters. Based on this quadratic approximation, we propose an EM test of the null hypothesis of M 0 components against the alternative hypothesis of M 0 + 1 components, and derive the asymptotic distribution of the proposed test statistic. The simulations show that the proposed test has good finite sample size and power properties.

Pages: 34 pages
Date: 2017-03
New Economics Papers: this item is included in nep-ecm
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Related works:
Working Paper: Testing the Order of Multivariate Normal Mixture Models (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2017cf1044

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