Abstract
This paper proposes a simple and effective method for selecting the number of components in density mixtures. The proposed method is based on a combination of Stein's unbiased risk estimation and the plug-in principle. Also provided by this paper are numerical results comparing several popular methods for Gaussian mixture estimation. These results demonstrate the superior performance of the proposed method.
Acknowledgements
The authors are most grateful to the referee for his/her constructive comments and suggestions, most of which were incorporated into the final version of the paper. The authors would also like to thank Professor Peter Green for making the N mix code of Richardson and Green (1997) available.