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Consider the two-parameter Gamma($\alpha$,$\beta$) distribution with PDF

$$f(x|\alpha,\beta) = \frac{\beta^\alpha x^{\alpha - 1} \exp(-\beta x)}{\Gamma(\alpha)}, \quad x>0, \alpha>0, \beta>0,$$

where the scale parameter, $\beta$, can have any of a number of continuous prior distributions with PDF $g_i(\beta), \beta > 0$.

My question is:

For fixed $\alpha$, is the mixture PDF,

$$f(x) = \int_0^\infty f(x|\alpha,\beta) g_i(\beta) d\beta, \quad x>0,$$

identifiable with respect to $\beta$?

In other words, does $$\int_0^\infty f(x|\alpha,\beta) g_j(\beta) d\beta = \int_0^\infty f(x|\alpha,\beta) g_k(\beta) d\beta, \quad x>0 \qquad (1)$$

imply $$g_j(\beta) = g_k(\beta), \quad \beta>0?$$

I've looked for this result (or its negation) extensively, but with no luck. The closest thing I've found is a discussion of the identifiability of Gamma($\alpha$,$\beta$) mixtures with regard to the $\alpha$ parameter (for fixed $\beta$), which Maritz and Lwin (Empirical Bayes Methods with Applications) show are identifiable because Gamma($\alpha$,$\beta$) is an additively closed family with respect to $\alpha$.

Thanks in advance for any references or suggestions!

Addendum: I should have noted that for $\alpha = 1$ (i.e., the Exponential($\beta$) case), the mixture PDF,

$$f(x) = \int_0^\infty f(x|\alpha = 1,\beta) g_i(\beta) d\beta,$$

appears to be identifiable if the Laplace transforms of the $g_i(\beta)$ are well defined in a neighborhood of $0$. This is because Eq. (1) (and successive derivatives of both sides WRT $x$) can be used to show that all raw moments associated with $g_j(\beta)$ and $g_k(\beta)$ are identical (which unfortunately doesn't imply that the two PDFs are the same).

BMG
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1 Answers1

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I'm surprised this question has remained unanswered for so long. The quick answer is "Yes", Gamma mixtures are identifiable with respect to the $\beta$ parameter. This is shown in Example 1 of H. Teicher, 1961, "Identifiability of Mixtures", Annals of Mathematical Statistics. Unfortunately, Teicher uses the outdated term "Type III distribution" instead of "Gamma distribution", which may explain why many later sources overlook this result.

AOS
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