Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
415473 | Computational Statistics & Data Analysis | 2014 | 11 Pages |
Abstract
A testing problem of homogeneity in gamma mixture models is studied. It is found that there is a proportion of the penalized likelihood ratio test statistic that degenerates to zero. The limiting distribution of this statistic is found to be the chi-bar-square distributions. The degeneration is due to the negative-definiteness of a complicated random matrix, depending on the shape parameter under the null hypothesis. In light of this dependency, bounds on the distribution are introduced and a weighted average procedure is proposed. Simulation suggests that the results are accurate and consistent, and that the asymptotic result applies to the maximum likelihood estimator, obtained via an Expectation–Maximization algorithm.
Keywords
Related Topics
Physical Sciences and Engineering
Computer Science
Computational Theory and Mathematics
Authors
Tony Siu Tung Wong, Wai Keung Li,