Journal
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
Volume 63, Issue -, Pages 19-29Publisher
BLACKWELL PUBL LTD
DOI: 10.1111/1467-9868.00273
Keywords
asymptotic distribution; finite mixture; irregular model; strong identifiability
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Testing for homogeneity in finite mixture models has been investigated by many researchers. The asymptotic null distribution of the likelihood ratio test (LRT) is very complex and difficult to use in practice, We propose a modified LRT for homogeneity in finite mixture models with a general parametric kernel distribution family. The modified LRT has a chi (2)-type of null limiting distribution and is asymptotically most powerful under local alternatives. Simulations show that it performs better than competing tests. They also reveal that the limiting distribution with some adjustment can satisfactorily approximate the quantiles of the test statistic, even for moderate sample sizes.
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