Systems Engineering and Electronics

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A moment-based criterion for determining the number of components in a normal mixture model

Yimin Zhou1, Liyan Han1, Dan Wang2, and Libo Yin3,*   

  1. 1. School of Economics and Management, Beihang University, Beijing 100191, China;
    2. School of Instrumentation Science and Opto-electronics Engineering, Beihang University, Beijing 100191, China;
    3. School of Finance, Central University of Finance and Economics, Beijing 100081, China
  • Online:2017-08-25 Published:2010-01-03


Determining the number of components is a crucial issue in a mixture model. A moment-based criterion is considered to estimate the number of components arising from a normal mixture model. This criterion is derived from an omnibus statistic involving the skewness and kurtosis of each component. The proposed criterion additionally provides a measurement for the model fit in an absolute sense. The performances of our criterion are satisfactory compared with other classical criteria through Monte-Carlo experiments.