Non-parametric estimation of finite mixtures from repeated measurements
Stéphane Bonhomme, Koen Jochmans, Jean-Marc Robin
Journal of the Royal Statistical Society: Series B (Statistical Methodology) · 2016 · Volume 78 · Issue 1
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.
Keywords
Finite mixture, Repeated measurement data, Reweighting, Two-step estimation
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