Discrete mixture representations of parametric distribution families: geometry and statistics

Abstract: We investigate existence and properties of discrete mixture representations

P_{h} e t a = s u m_{i i n E} w_{h} e t a (i), Q_{i}

for a given family

P_{h} e t a

,

h e t a i n T h e t a

, of probability measures. The noncentral chi-squared distributions provide a classical example. We obtain existence results and results about geometric and statistical aspects of the problem, the latter including loss of Fisher information, Rao-Blackwellization, asymptotic efficiency and nonparametric maximum likelihood estimation of the mixing probabilities.

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