Tests on components of density mixtures

Details Tests on components of density mixtures Tests on components of density mixtures

2009-12-04

arxiv.org/abs/0912.0786v2

Mathematics

Statistics Theory

Scientific paper

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 $Y_1, ..., Y_n$ and $Z_1, ..., Z_n$ 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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