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Identifiability of Finite Mixtures of Elliptical Distributions

  • HAJO HOLZMANN
  • AXEL MUNK
  • TILMANN GNEITING
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    We present general results on the identifiability of finite mixtures of elliptical distributions under conditions on the characteristic generators or density generators. Examples include the multivariate "t"-distribution, symmetric stable laws, exponential power and Kotz distributions. In each case, the shape parameter is allowed to vary in the mixture, in addition to the location vector and the scatter matrix. Furthermore, we discuss the identifiability of finite mixtures of elliptical densities with generators that correspond to scale mixtures of normal distributions. Copyright 2006 Board of the Foundation of the Scandinavian Journal of Statistics..

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    Article provided by Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association in its journal Scandinavian Journal of Statistics.

    Volume (Year): 33 (2006)
    Issue (Month): 4 ()
    Pages: 753-763

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    Handle: RePEc:bla:scjsta:v:33:y:2006:i:4:p:753-763
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