Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1149797 | Journal of Statistical Planning and Inference | 2009 | 16 Pages |
Abstract
In this paper, we investigate the estimation problem of the mixture proportion λ in a nonparametric mixture model of the form λF(x)+(1-λ)G(x) using the minimum Hellinger distance approach, where F and G are two unknown distributions. We assume that data from the distributions F and G as well as from the mixture distribution λF+(1-λ)G are available. We construct a minimum Hellinger distance estimator of λ and study its asymptotic properties. The proposed estimator is chosen to minimize the Hellinger distance between a parametric mixture model and a nonparametric density estimator. We also develop a maximum likelihood estimator of λ. Theoretical properties such as the existence, strong consistency, asymptotic normality and asymptotic efficiency of the proposed estimators are investigated. Robustness properties of the proposed estimator are studied using a Monte Carlo study. Two real data examples are also analyzed.
Keywords
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Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
R.J. Karunamuni, J. Wu,