skip to content

Faculty of Economics

Journal Cover

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.

Author links:

Publisher's Link:

Papers and Publications

Recent Publications

Ambrus, A. and Elliott, M. Investments in Social Ties, Risk Sharing, and Inequality Review of Economic Studies [2021]

Huffman, D., Raymond, C. and Shvets, J. Persistent Overconfidence and Biased Memory: Evidence from Managers American Economic Review, forthcoming [2022]

Aidt, T. S., Albornoz, F. and Hauk, E. Foreign Influence and Domestic Policy Journal of Economic Literature [2021]

Anagnostopoulos, A., Atesagaoglu, O. E., Faraglia, E. and Giannitsarou, C. Cross-Country Stock Market Comovement: A Macro Perspective Journal of Monetary Economics, accepted [2022]