TESTING FOR HOMOGENEITY IN MIXTURE MODELS

DOI10.1017/S0266466617000299zbMATH Open1393.62018arXiv1302.1805OpenAlexW2952140288MaRDI QIDQ4569586FDOQ4569586

Authors: Jiaying Gu, Stanislav Volgushev, Roger Koenker 

Publication date: 26 June 2018

Published in: Econometric Theory (Search for Journal in Brave)

Abstract: Statistical models of unobserved heterogeneity are typically formalized as mixtures of simple parametric models and interest naturally focuses on testing for homogeneity versus general mixture alternatives. Many tests of this type can be interpreted as $C(alpha)$ tests, as in Neyman (1959), and shown to be locally, asymptotically optimal. These $C(alpha)$ tests will be contrasted with a new approach to likelihood ratio testing for general mixture models. The latter tests are based on estimation of general nonparametric mixing distribution with the Kiefer and Wolfowitz (1956) maximum likelihood estimator. Recent developments in convex optimization have dramatically improved upon earlier EM methods for computation of these estimators, and recent results on the large sample behavior of likelihood ratios involving such estimators yield a tractable form of asymptotic inference. Improvement in computation efficiency also facilitates the use of a bootstrap methods to determine critical values that are shown to work better than the asymptotic critical values in finite samples. Consistency of the bootstrap procedure is also formally established. We compare performance of the two approaches identifying circumstances in which each is preferred.

Full work available at URL: https://arxiv.org/abs/1302.1805

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zbMATH Keywords

mixture modelsbootstrap methodhomogeneitynonparametric mixing distribution

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20)

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Cited In (13)

• Testing for outliers from a mixture distribution when some data are missing
• Optimal pseudo-Gaussian and rank-based random coefficient detection in multiple regression
• Likelihood inference in some finite mixture models
• Testing homogeneity in contaminated mixture models
• Rate of divergence of the nonparametric likelihood ratio test for Gaussian mixtures
• A combined likelihood ratio/information ratio bootstrap technique for estimating the number of components in finite mixtures
• Test for homogeneity in normal mixtures with unknown means and variances
• Testing for Redundancy in Normal Mixture Analysis
• Title not available (Why is that?)
• Sample-size calculation for tests of homogeneity
• Testing homogeneity in discrete mixtures
• Testing for Homogeneity in Mixture Using Weighted Relative Entropy
• Title not available (Why is that?)

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