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The Null Distribution of the Likelihood Ratio Test for a Mixture of Two Gammas
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  • The Null Distribution of the Likelihood Ratio Test for a Mixture of Two Gammas
  • The Null Distribution of the Likelihood Ratio Test for a Mixture of Two Gammas
저자명
Min. Dae-Hee
간행물명
한국데이터정보과학회지
권/호정보
1998년|9권 2호|pp.289-298 (10 pages)
발행정보
한국데이터정보과학회
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정기간행물|ENG|
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이 논문은 한국과학기술정보연구원과 논문 연계를 통해 무료로 제공되는 원문입니다.
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기타언어초록

We investigate the distribution of likelihood ratio test(LRT) of null hypothesis a sample is from single gamma with unknown shape and scale against the alternative hypothesis a sample is from a mixture of two gammas, each with unknown scale and unknown (but equal) scale. To obtain stable maximum likelihood estimates(MLE) of a mixture of two gamma distributions, the EM(Dempster, Laird, and Robin(1977))and Modified Newton(Jensen and Johansen(1991)) algorithms were implemented. Based on EM, we made a simple structure likelihood equation for each parameter and could obtain stable solution by Modified Newton Algorithms. Simulation study was conducted to investigate the distribution of LRT for sample size n = 25, 50, 75, 100, 50, 200, 300, 400, 500 with 2500 replications. To determine the small sample distribution of LRT, I considered the model of a gamma distribution with shape parameter equal to 1 + f(n) and scale parameter equal to 2. The simulation results indicate that the null distribution is essentially invariant to the value of the shape parameter. Modeling of the null distribution indicates that it is well approximated by a gamma distribution with shape parameter equal to the quantity $0.927+1.18/sqrt{n}$ and scale parameter equal to 2.16.