Estimation of a nonlinear discriminant function from a mixture of two GEV distributions

Cátia R. Gonçalves, Cira Etheowalda Guevara Otiniano, Evelyn C. Cruvinel

Journal of Statistical Computation and Simulation 88 (2018) 1147-1171

https://doi.org/10.1080/00949655.2018.1423683

In this paper, the identifiability of finite mixture of generalized extreme value (GEV) distributions is proved. Next, a procedure for finding maximum likelihood estimates (MLEs) of the parameters of a finite mixture of two generalized extreme value (MGEV) distributions is presented by using classified and unclassified observations. Then, a nonlinear discriminant function for a mixture of two GEV distributions is derived and the performance of the corresponding estimated discriminant function is investigated through a series of simulation experiments. Finally, the methodology is applied to real data.