Type
Article
Titre
Nonparametric estimation of finite mixtures from repeated measurements
Dans
Journal of the Royal Statistical Society: Series B
Auteur(s)
JOCHMANS Koen - Département d'économie (ECON) (Auteur)
BONHOMME Stéphane - University of Chicago (Auteur)
ROBIN Jean-Marc - Département d'économie (ECON) (Auteur)
Éditeur
US : John Wiley & Sons
Volume
78
Numéro
1
ISSN
13697412
Mots clés
Finite mixture, Repeated measurement data, Reweighting, Two-step estimation
Résumé
EN
This paper provides methods to estimate finite mixtures from data with repeated measurements non-parametrically. We present a constructive identification argument and use it to develop simple two-step estimators of the component distributions and all their functionals. We discuss a computationally efficient method for estimation and derive asymptotic theory. Simulation experiments suggest that our theory provides confidence intervals with good coverage in small samples.

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