Testing the Mixture of Exponentials Hypothesis and Estimating the Mixing Distribution by the Method of Moments
James J. Heckman, Richard Robb, James Robert Walker · Journal of the American Statistical Association · 1990
This article presents nonparametric methods for testing the hypothesis that duration data can be represented by a mixture of exponential distributions. Both Bayesian and classical tests are developed. A variety of apparently distinct models can be written in mixture of exponentials form. This raises a fundamental identification problem. A consistent estimator for the number of points of support of a discrete mixture is developed. A consistent method-of-moments estimator for the mixing distribution is derived from the testing criteria and is evaluated in a Monte Carlo study.