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Nonparametric estimation of finite mixtures from repeated measurements

 

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Type:   Article
 
Titre:   Nonparametric estimation of finite mixtures from repeated measurements
 
Auteur(s):   Jochmans, Koen (1982-...) - Département d'économie (Auteur)
Bonhomme, Stéphane - University of Chicago (Auteur)
Robin, Jean-Marc (1961-...) - Département d'économie (Auteur)
 
In:   Journal of the Royal Statistical Society: Series B
 
Date de publication:   2015-02
 
Éditeur:   ÉTATS-UNIS  :  John Wiley & Sons
 
Volume:   Forthcoming in print
 
ISSN:   13697412
 
DOI:   10.1111/rssb.12110
 
Mots-clés:   [fr] Two-step estimation [en] Finite mixture, Repeated measurement data, Reweighting
 
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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