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Nonparametric Identification and Estimation of the Number of Components in Multivariate Mixtures

  • Hiroyuki Kasahara

    (Department of Economics, University of British Columbia)

  • Katsumi Shimotsu

    (Faculty of Economics, University of Tokyo)

This article analyzes the identifiability of the number of components in k-variate, M-component finite mixture models in which each component distribution has independent marginals, including models in latent class analysis. Without making parametric assumptions on the component distributions, we investigate how one can identify the number of components from the distribution function of the observed data. When k>=2, a lower bound on the number of components (M) is nonparametrically identifiable from the rank of a matrix constructed from the distribution function of the observed variables. Building on this identification condition, we develop a procedure to consistently estimate a lower bound on the number of components.

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File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2012/2012cf866.pdf
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Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-866.

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Length: 31 pages
Date of creation: Oct 2012
Date of revision:
Handle: RePEc:tky:fseres:2012cf866
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  1. T. P. Hettmansperger & Hoben Thomas, 2000. "Almost nonparametric inference for repeated measures in mixture models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(4), pages 811-825.
  2. Richard Paap & Frank Kleibergen, 2004. "Generalized Reduced Rank Tests using the Singular Value Decomposition," Econometric Society 2004 Australasian Meetings 195, Econometric Society.
  3. I. R. Cruz-Medina & T. P. Hettmansperger & H. Thomas, 2004. "Semiparametric mixture models and repeated measures: the multinomial cut point model," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 53(3), pages 463-474.
  4. Hiroyuki Kasahara & Katsumi Shimotsu, 2009. "Nonparametric Identification of Finite Mixture Models of Dynamic Discrete Choices," Econometrica, Econometric Society, vol. 77(1), pages 135-175, 01.
  5. Dunson, David B. & Xing, Chuanhua, 2009. "Nonparametric Bayes Modeling of Multivariate Categorical Data," Journal of the American Statistical Association, American Statistical Association, vol. 104(487), pages 1042-1051.
  6. Woo, Mi-Ja & Sriram, T.N., 2006. "Robust Estimation of Mixture Complexity," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1475-1486, December.
  7. Donald W.K. Andrews, 1985. "Asymptotic Results for Generalized Wald Tests," Cowles Foundation Discussion Papers 761R, Cowles Foundation for Research in Economics, Yale University, revised Apr 1986.
  8. Peter Hall & Amnon Neeman & Reza Pakyari & Ryan Elmore, 2005. "Nonparametric inference in multivariate mixtures," Biometrika, Biometrika Trust, vol. 92(3), pages 667-678, September.
  9. Lutkepohl, Helmut & Burda, Maike M., 1997. "Modified Wald tests under nonregular conditions," Journal of Econometrics, Elsevier, vol. 78(2), pages 315-332, June.
  10. M. Levine & D. R. Hunter & D. Chauveau, 2011. "Maximum smoothed likelihood for multivariate mixtures," Biometrika, Biometrika Trust, vol. 98(2), pages 403-416.
  11. Robert Mislevy, 1984. "Estimating latent distributions," Psychometrika, Springer, vol. 49(3), pages 359-381, September.
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