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Non-parametric estimation of finite mixtures from repeated measurements

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. Green open access

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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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