Identifiability of Finite Mixtures of Elliptical Distributions


Hajo Holzmann, Institute for Mathematical Stochastics, Georg-August-Universität Göttingen, Maschmühlenweg 8–10, 37073 Göttingen, Germany.


Abstract.  We present general results on the identifiability of finite mixtures of elliptical distributions under conditions on the characteristic generators or density generators. Examples include the multivariate t-distribution, symmetric stable laws, exponential power and Kotz distributions. In each case, the shape parameter is allowed to vary in the mixture, in addition to the location vector and the scatter matrix. Furthermore, we discuss the identifiability of finite mixtures of elliptical densities with generators that correspond to scale mixtures of normal distributions.