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Testing the Order of Multivariate Normal Mixture Models

DateApril/26/2022
TimeJapan Standard Time (UTC+9h)
 10:50 ~ 12:20
SpeakerKatsumi Shimotsu The University of Tokyo
TitleTesting the Order of Multivariate Normal Mixture Models
AbstractFinite mixtures of multivariate normal distributions have been widely used in empirical applications in diverse fields such as statistical genetics and statistical finance. Testing the number of components in multivariate normal mixture models is a long-standing challenge even in the most important case of testing homogeneity. This paper develops a likelihood-based test of the null hypothesis of M components against the alternative hypothesis of M+1 components for a general M>=1. We derive the asymptotic distribution of the proposed EM test statistic under the null hypothesis and local alternatives and show the validity of parametric bootstrap. The simulations show that the proposed test has good finite sample size and power properties.
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VenueRoom E207, East Bldg., Koganei Campus, Hosei University
ChairQingfeng Liu Hosei University
HostsTEDS and Hosei University

コロナ対策のため人数管理をすべく、対面で参加される場合は事前に劉慶豊<qliu[at]hosei.ac.jp>へご連絡ください。