Abstract #300857

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JSM 2002 Abstract #300857
Activity Number: 287
Type: Contributed
Date/Time: Wednesday, August 14, 2002 : 8:30 AM to 10:20 AM
Sponsor: General Methodology
Abstract - #300857
Title: Testing Scale Mixture
Author(s): Denys Pommeret*+
Affiliation(s): CREST - ENSAI
Address: Rue Blaise Pascal BP 37203, Bruz, , 35580, France
Keywords: Orthogonal polynomials ; Polynomial expansions ; Moment estimation
Abstract:

Let Y and W be independent random variables and suppose that W is non-negative with probability 1. The distribution of YW is called a scale mixture of Y-distribution with scale factor W. For a given random variable Y such a scale mixture modelises multiplying errors when the distribution of W is unknown. In this case we consider a polynomial expansion of the density of YW. Such an expansion enables us to estimate moments of W. We derive a test based on the estimator of the second moment of W for testing W=1.

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