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August 2007 Local mixture models of exponential families
Karim Anaya-Izquierdo, Paul Marriott
Bernoulli 13(3): 623-640 (August 2007). DOI: 10.3150/07-BEJ6170


Exponential families are the workhorses of parametric modelling theory. One reason for their popularity is their associated inference theory, which is very clean, both from a theoretical and a computational point of view. One way in which this set of tools can be enriched in a natural and interpretable way is through mixing. This paper develops and applies the idea of local mixture modelling to exponential families. It shows that the highly interpretable and flexible models which result have enough structure to retain the attractive inferential properties of exponential families. In particular, results on identification, parameter orthogonality and log-concavity of the likelihood are proved.


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Karim Anaya-Izquierdo. Paul Marriott. "Local mixture models of exponential families." Bernoulli 13 (3) 623 - 640, August 2007.


Published: August 2007
First available in Project Euclid: 7 August 2007

zbMATH: 1129.62005
MathSciNet: MR2348743
Digital Object Identifier: 10.3150/07-BEJ6170

Rights: Copyright © 2007 Bernoulli Society for Mathematical Statistics and Probability


Vol.13 • No. 3 • August 2007
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