Estimating Mixtures of Normal Distributions and Switching Regressions: Comment.

The article presents the author's comment on an article on moment generating function method (MGF) and method of moments (MM). The author feels that authors of the article are to be congratulated not only for proposing a new method for estimating the unknown parameters for a mixture of two normal distributions, but also for proposing one which seems to work with small sample sizes. There are, however, a number of important questions regarding the performance of the method that are not addressed in the article. The author is confused as to why authors chose to compare their MGF to MM. Simulation studies have shown that the sampling variances and mean squared errors of the maximum likelihood estimates are, for almost all parameter values, considerably smaller than those of the moment estimates. The reason for the authors' choice may be that they were unaware of the work by various researchers on maximum likelihood estimation with mixtures of two normal distributions and the work extending the maximum likelihood procedure to the switching regressions model.