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Assessing the number of components in a normal mixture: an alternative approach

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  • Maciejowska, Katarzyna

Abstract

In this article, a new approach for model specification is proposed. The method allows to choose the correct order of a mixture model by testing, if a particular mixture component is significant. The hypotheses are set in a new way, in order to avoid identification problems, which are typical for mixture models. If some of the parameters are known, the distribution of the LR statistic is Chi2, with the degrees of freedom depending on the number of components and the number of parameters in each component. The advantage of the new approach is its simplicity and computational feasibility.

Suggested Citation

  • Maciejowska, Katarzyna, 2013. "Assessing the number of components in a normal mixture: an alternative approach," MPRA Paper 50303, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:50303
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    File URL: https://mpra.ub.uni-muenchen.de/50303/8/MPRA_paper_50303.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    normal mixture models; likelihood ratio test; homogeneity test; hypotheses setting;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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