The Annals of Statistics

Moment Matrices: Applications in Mixtures

Bruce G. Lindsay

Full-text: Open access

Abstract

The use of moment matrices and their determinants are shown to elucidate the structure of mixture estimation as carried out using the method of moments. The setting is the estimation of a discrete finite support point mixing distribution. In the important class of quadratic variance exponential families it is shown for any sample there is an integer $\hat{\nu}$ depending on the data which represents the maximal number of support points that one can put in the estimated mixing distribution. From this analysis one can derive an asymptotically normal statistic for testing the true number of points in the mixing distribution. In addition, one can construct consistent nonparametric estimates of the mixing distribution for the case when the number of points is unknown or even infinite. The normal model is then examined in more detail, and in particular the case when $\sigma^2$ is unknown is given a comprehensive solution. It is shown how to estimate the parameters in a direct way for every hypothesized number of support points in the mixing distribution, and it is shown how the structure of the problem yields a decomposition of variance into model and error components very similar to the traditional analysis of variance.

Article information

Source
Ann. Statist., Volume 17, Number 2 (1989), 722-740.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176347138

Digital Object Identifier
doi:10.1214/aos/1176347138

Mathematical Reviews number (MathSciNet)
MR994263

Zentralblatt MATH identifier
0672.62063

JSTOR
links.jstor.org

Subjects
Primary: 62E10: Characterization and structure theory
Secondary: 62G05: Estimation 62H05: Characterization and structure theory

Keywords
Moment matrix Hankel determinant method of moments quadratic variance exponential family mixing distribution mixture model

Citation

Lindsay, Bruce G. Moment Matrices: Applications in Mixtures. Ann. Statist. 17 (1989), no. 2, 722--740. doi:10.1214/aos/1176347138. https://projecteuclid.org/euclid.aos/1176347138


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