Estimation and Hypothesis Testing in Finite Mixture Models

SUMMARY Finite mixture models are a useful class of models for application to data. When sample sizes are not large and the number of underlying densities is in question, likelihood ratio tests based on joint maximum likelihood estimation of the mixing parameter, X, and the parameter of the underlying densities, 0, are problematical. Our approach places a prior distribution on X and estimates 0 by maximizing the likelihood of the data given 0 with X integrated out. Advantages of this approach, computational issues using the EM algorithm and directions for further work are discussed. The technique is applied to two examples.

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