Statistical inference on mixing proportion

In this paper, the interval estimation and hypothesis testing of the mixing proportion in mixture distributions are considered. A statistical inferential method is proposed which is inspired by the generalized p-values and generalized pivotal quantity. In some situations, the true levels of the tests given in the paper are equal to nominal levels, and the true coverage of the interval estimation or confidence bounds is also equal to nominal one. In other situations, under mild conditions, the tests are consistent and the coverage of the interval estimations or the confidence bounds is asymptotically equal to nominal coverage. Meanwhile, some simulations are performed which show that our method is satisfactory.