Bonhomme, S;
Jochmans, K;
Robin, J-M;
(2016)
Non-parametric estimation of finite mixtures from repeated measurements.
Journal Of The Royal Statistical Society Series B-statistical Methodology
, 78
(1)
pp. 211-229.
10.1111/rssb.12110.
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Abstract
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.
| Type: | Article |
|---|---|
| Title: | Non-parametric estimation of finite mixtures from repeated measurements |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1111/rssb.12110 |
| Publisher version: | http://dx.doi.org/10.1111/rssb.12110 |
| Language: | English |
| Additional information: | This is the peer reviewed version of the following article: Bonhomme, S; Jochmans, K; Robin, J-M; (2016) Non-parametric estimation of finite mixtures from repeated measurements. Journal Of The Royal Statistical Society Series B-statistical Methodology , 78 (1) pp. 211-229, which has been published in final form at http://dx.doi.org/10.1111/rssb.12110. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving. |
| Keywords: | Science & Technology, Physical Sciences, Statistics & Probability, Mathematics, Finite mixture, Repeated measurement data, Reweighting, Two-step estimation, Multivariate Mixtures, Density Estimators, Models, Identification, Inference, Decomposition, Distributions, Proportions, Likelihood, Variables |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL SLASH UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics |
| URI: | https://discovery.ucl.ac.uk/id/eprint/1517955 |
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