Development of inference methods for finite mixture models

有限混合模型推理方法的开发

• 批准号: 23530249
• 负责人: SHIMOTSU Katsumi
• 金额: $ 3.16万
• 依托单位: The University of Tokyo (2012-2013)Hitotsubashi University (2011)
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2011
• 资助国家: 日本
• 起止时间: 2011 至 2013
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-23530249/
• 关键词: 有限混合モデル; 計量経済学; 統計的推測; 漸近理論; 統計学

This research project developed a new method for inference for finite mixture models. Finite mixture models are very popular in applications, but their inference is known to be difficult. Specifically, when one tests for the number of components in a mixture model, the likelihood ratio test statistic does not have the standard chi-square asymptotic distribution. We developed a new approach to analyzing the likelihood function of finite mixture models, and constructed inference procedures that are applicable to a wide class of models and have an easily computable asymptotic distribution. Further, we analyzed the finite sample performance of the proposed procedures by computer simulations.

本研究计画发展一种新的有限混合模型推论方法。有限混合模型在实际应用中非常普遍，但其推理是已知的困难。具体而言，当检验混合模型中的分量数时，似然比检验统计量不具有标准卡方渐近分布。我们开发了一种新的方法来分析有限混合模型的似然函数，并构造推理程序，适用于广泛的一类模型，并具有易于计算的渐近分布。此外，我们通过计算机模拟分析了所提出的程序的有限样本性能。

项目成果

Modified Quasi�?Likelihood Ratio Test for Regime Switching

机制切换的改进准似然比检验

• DOI: 10.1111/jere.12027
• 发表时间: 2014
• 期刊: Econometrics: Econometric & Statistical Methods - General eJournal
• 作者: Katsumi Shimotsu;Tatsuyoshi Okimoto;Katsumi Shimotsu
• 通讯作者: Katsumi Shimotsu

Exact local Whittle estimation of fractionally cointegrated systems

• DOI: 10.1016/j.jeconom.2012.01.028
• 发表时间: 2012-08-01
• 期刊: JOURNAL OF ECONOMETRICS
• 影响因子: 6.3
• 作者: Shimotsu, Katsumi

Sequential Estimation of Structural Models with a Fixed Point Constraint

具有不动点约束的结构模型的顺序估计

• 发表时间: 2012
• 期刊: Econometrica
• 影响因子: 6.1
• 作者: Hiroyuki Kasahara;Katsumi Shimotsu
• 通讯作者: Katsumi Shimotsu

Non‐parametric identification and estimation of the number of components in multivariate mixtures

• DOI: 10.1111/rssb.12022
• 发表时间: 2014-01
• 期刊: Journal of the Royal Statistical Society: Series B (Statistical Methodology)
• 作者: Hiroyuki Kasahara;Katsumi Shimotsu

Testing the Number of Components in Finite Mixture Econometric Models

测试有限混合计量经济学模型中的组件数量

• 发表时间: 2013
• 作者: Hiroyuki Kasahara;Katsumi Shimotsu;Katsumi Shimotsu;Hiroyuki Kasahara and Katsumi Shimotsu;Katsumi Shimotsu;下津克己;下津克己;下津克己;下津克己;下津克己;下津克己
• 通讯作者: 下津克己