Testing the Number of Components in Normal Mixture Regression Models

B-Tier
Journal: Journal of the American Statistical Association
Year: 2015
Volume: 110
Issue: 512
Pages: 1632-1645

Authors (2)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Testing the number of components in finite normal mixture models is a long-standing challenge because of its nonregularity. This article studies likelihood-based testing of the number of components in normal mixture regression models with heteroscedastic components. We construct a likelihood-based test of the null hypothesis of <italic>m</italic><sub>0</sub> components against the alternative hypothesis of <italic>m</italic><sub>0</sub> + 1 components for any <italic>m</italic><sub>0</sub>. The null asymptotic distribution of the proposed modified EM test statistic is the maximum of <italic>m</italic><sub>0</sub> random variables that can be easily simulated. The simulations show that the proposed test has very good finite sample size and power properties. Supplementary materials for this article are available online.

Technical Details

RePEc Handle
repec:taf:jnlasa:v:110:y:2015:i:512:p:1632-1645
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25