Semiparametric two-component mixture models under linear constraints

TL;DR

This paper introduces a novel semiparametric two-component mixture model estimation method that incorporates linear constraints on the unknown component, improving estimation accuracy especially when existing methods struggle.

Contribution

It proposes a new estimation approach using $\

Findings

Method is consistent and asymptotically normal.

Algorithm has linear complexity with moment-type constraints.

Demonstrated effectiveness on univariate and multivariate mixtures.

Abstract

We propose a structure of a semiparametric two-component mixture model when one component is parametric and the other is defined through linear constraints on its distribution function. Estimation of a two-component mixture model with an unknown component is very difficult when no particular assumption is made on the structure of the unknown component. A symmetry assumption was used in the literature to simplify the estimation. Such method has the advantage of producing consistent and asymptotically normal estimators, and identifiability of the semiparametric mixture model becomes tractable. Still, existing methods which estimate a semiparametric mixture model have their limits when the parametric component has unknown parameters or the proportion of the parametric part is either very high or very low. We propose in this paper a method to incorporate a prior linear information about the distribution of the unknown component in order to better estimate the model when existing estimation methods fail. The new method is based on $\varphi-$divergences and has an original form since the minimization is carried over both arguments of the divergence. The resulting estimators are proved to be consistent and asymptotically normal under standard assumptions. We show that using the Pearson's $\chi^2$ divergence our algorithm has a linear complexity when the constraints are moment-type. Simulations on univariate and multivariate mixtures demonstrate the viability and the interest of our novel approach.