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Faculty of Economics

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Bonhomme, S. and Jochmans, K. and Robin, J-M.

Non-parametric Estimation of Finite Mixtures from Repeated Measurements

Journal of the Royal Statistical Society - Series B

Vol. 78(1) pp. 211–229 (2016)

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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