Discrete mixture representations of parametric distribution families: Geometry and statistics

We investigate existence and properties of discrete mixture representations $P_{\theta }=\sum _{i\in E}w_{\theta }(i)\,Q_{i}$ for a given family $P_{\theta }$, $\theta \in \Theta $, of probability measures. The noncentral chi-squared distributions provide a classical example. We obtain existence results and results about geometric and statistical aspects of the problem, the latter including loss of Fisher information, Rao-Blackwellization, asymptotic efficiency and nonparametric maximum likelihood estimation of the mixing probabilities.