Test on components of mixture densities - Archive ouverte HAL
Article Dans Une Revue Statistics & Risk Modeling with Applications in Finance and Insurance Année : 2011

Test on components of mixture densities

Résumé

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 $Y_1, \dots, Y_n$ and $Z_1, \dots, Z_n$ 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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Dates et versions

hal-00438417 , version 1 (03-12-2009)
hal-00438417 , version 2 (14-04-2010)

Identifiants

Citer

Florent Autin, Christophe Pouet. Test on components of mixture densities. Statistics & Risk Modeling with Applications in Finance and Insurance, 2011, 28 (4), pp.389-410. ⟨10.1524/strm.2011.1065⟩. ⟨hal-00438417v2⟩
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