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Nonparametric estimation of finite mixtures from repeated measurements

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.
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Submitted on : Saturday, February 12, 2022 - 11:49:18 AM
Last modification on : Sunday, February 13, 2022 - 3:42:53 AM

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Koen Jochmans, Stéphane Bonhomme, Jean-Marc Robin. Nonparametric estimation of finite mixtures from repeated measurements. Journal of the Royal Statistical Society: Series B, Royal Statistical Society, 2015, 78 (1), ⟨10.1111/rssb.12110⟩. ⟨hal-03568247⟩

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