On bootstrapping the likelihood ratio test statistic for the number of components in a normal mixture

GJ McLachlan - Journal of the Royal Statistical Society: Series …, 1987 - Wiley Online Library
Journal of the Royal Statistical Society: Series C (Applied …, 1987Wiley Online Library
An important but difficult problem in practice is assessing the number of components g in a
mixture. An obvious way of proceeding is to use the likelihood ratio test statistic λ to test for
the smallest value of g consistent with the data. Unfortunately with mixture models, regularity
conditions do not hold for–2 log λ to have it usual asymptotic null distribution of chi‐squared.
In this paper the role of the bootstrap is highlighted for the assessment of the null distribution
of–2 log λ for the test of a single normal density versus a mixture of two normal densities in …
Summary
An important but difficult problem in practice is assessing the number of components g in a mixture. An obvious way of proceeding is to use the likelihood ratio test statistic λ to test for the smallest value of g consistent with the data. Unfortunately with mixture models, regularity conditions do not hold for –2 log λ to have it usual asymptotic null distribution of chi‐squared. In this paper the role of the bootstrap is highlighted for the assessment of the null distribution of –2 log λ for the test of a single normal density versus a mixture of two normal densities in the univariate case.
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