DENSITY ESTIMATION BY OBSERVATIONS WITH ADMIXTURE

O. SUGAKOVA

Theory of Stochastic Processes

Vol.16 (32), no.1, 2010, pp.103-110

We consider a two-component mixture model, in which the component of interest (the primary component) is assumed to be symmetrically distributed, and the admixture distribution has a known probability density function (pdf). The mixing probability and the mean of the primary component are unknown as well. A kernel estimate for the primary component’s pdf is proposed. Under some assumptions, the asymptotic normality of this estimate is demonstrated.