Semiparametric estimation of a two-component mixture model

DOI10.1214/009053606000000353zbMATH Open1112.62029arXivmath/0607812OpenAlexW3102825467MaRDI QIDQ2500451FDOQ2500451

Laurent Bordes, Stéphane Mottelet, P. Vandekerkhove

Publication date: 24 August 2006

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: Suppose that univariate data are drawn from a mixture of two distributions that are equal up to a shift parameter. Such a model is known to be nonidentifiable from a nonparametric viewpoint. However, if we assume that the unknown mixed distribution is symmetric, we obtain the identifiability of this model, which is then defined by four unknown parameters: the mixing proportion, two location parameters and the cumulative distribution function of the symmetric mixed distribution. We propose estimators for these four parameters when no training data is available. Our estimators are shown to be strongly consistent under mild regularity assumptions and their convergence rates are studied. Their finite-sample properties are illustrated by a Monte Carlo study and our method is applied to real data.

Full work available at URL: https://arxiv.org/abs/math/0607812

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zbMATH Keywords

consistencyrate of convergenceidentifiabilitycontrast estimatorsmixing operator

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

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Cited In (68)

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• Semiparametric mixture regression with unspecified error distributions
• Semiparametric mixtures of regressions
• Computation of an efficient and robust estimator in a semiparametric mixture model
• Estimating the mixing proportion in a semiparametric mixture model
• Two-component mixtures with independent coordinates as conditional mixtures: nonparametric identification and estimation
• Estimation of a semiparametric mixture of regressions model
• A review of semiparametric mixture models

Uses Software

• bootstrap

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