Tests on components of density mixtures

Publication date 4 December 2009

Abstract: This paper deals with statistical tests on the components of mixture densities. We propose to test whether the densities of two independent samples of independent random variables

Y_{1}, ..., Y_{n}

and

Z_{1}, ..., Z_{n}

result from the same mixture of

M

components or not. We provide a test procedure which is proved to be asymptotically optimal according to the minimax setting. We extensively discuss the connection between the mixing weights and the performance of the testing procedure and illustrate it with numerical examples.

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