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Development of inference methods for finite mixture models

Research Project

Project/Area Number 23530249
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Economic statistics
Research InstitutionThe University of Tokyo (2012-2013)
Hitotsubashi University (2011)

Principal Investigator

SHIMOTSU Katsumi  東京大学, 経済学研究科(研究院), 教授 (50547510)

Project Period (FY) 2011 – 2013
Project Status Completed (Fiscal Year 2013)
Budget Amount *help
¥4,940,000 (Direct Cost: ¥3,800,000、Indirect Cost: ¥1,140,000)
Fiscal Year 2013: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2012: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2011: ¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000)
Keywords有限混合モデル / 計量経済学 / 統計的推測 / 漸近理論 / 統計学
Research Abstract

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.

Report

(4 results)
  • 2013 Annual Research Report   Final Research Report ( PDF )
  • 2012 Research-status Report
  • 2011 Research-status Report
  • Research Products

    (24 results)

All 2014 2013 2012 2011

All Journal Article (10 results) (of which Peer Reviewed: 9 results) Presentation (14 results) (of which Invited: 5 results)

  • [Journal Article] Modified Quasi-Likelihood Ratio Test for Regime Switching2014

    • Author(s)
      Hiroyuki Kasahara, Tatsuyoshi Okimoto, Katsumi Shimotsu
    • Journal Title

      Japanese Economic Review

      Volume: 65 Pages: 25-41

    • Related Report
      2013 Annual Research Report 2013 Final Research Report
    • Peer Reviewed
  • [Journal Article] Does an R&D Tax Credit Affect R&D Expenditure? The Japanese Tax Credit Reform in 20032014

    • Author(s)
      Hiroyuki Kasahara, Michio Suzuki, Katsumi Shimotsu
    • Journal Title

      Journal of the Japanese and International Economies

      Volume: 31 Pages: 72-97

    • Related Report
      2013 Annual Research Report 2013 Final Research Report
    • Peer Reviewed
  • [Journal Article] Nonparametric Identification and Estimation of the Number of Components in Multivariate Mixtures2014

    • Author(s)
      Hiroyuki Kasahara, Katsumi Shimotsu
    • Journal Title

      Journal of the Royal Statistical Society

      Volume: Series B, 76 Pages: 97-111

    • Related Report
      2013 Final Research Report
    • Peer Reviewed
  • [Journal Article] Nonparametric Identification and Estimation of the Number of Components in Multivariate Mixtures2014

    • Author(s)
      Hiroyuki Kasahara and Katsumi Shimotsu
    • Journal Title

      Journal of the Royal Statistical Society: Series B

      Volume: 76 Issue: 1 Pages: 97-111

    • DOI

      10.1111/rssb.12022

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Nonparametric identification and estimation of the number of components in multivariate mixtures2013

    • Author(s)
      Hiroyuki Kasahara and Katsumi Shimotsu
    • Journal Title

      Journal of the Royal Statistical Society, Series B

      Volume: -

    • Related Report
      2012 Research-status Report
    • Peer Reviewed
  • [Journal Article] Testing the Number of Components in Finite Mixture Models2012

    • Author(s)
      Hiroyuki Kasahara, Katsumi Shimotsu
    • Journal Title

      CIRJE Discussion Paper, University of Tokyo

      Volume: F-867 Pages: 1-37

    • Related Report
      2013 Final Research Report
  • [Journal Article] Sequential Estimation of Structural Models with a Fixed Point Constraint2012

    • Author(s)
      Hiroyuki Kasahara, Katsumi Shimotsu
    • Journal Title

      Econometrica

      Volume: 80 Pages: 2303-2319

    • Related Report
      2013 Final Research Report
    • Peer Reviewed
  • [Journal Article] Exact Local Whittle Estimation of Fractionally Cointegrated Systems2012

    • Author(s)
      Katsumi Shimotsu
    • Journal Title

      Journal of Econometrics

      Volume: 169 Pages: 266-278

    • Related Report
      2013 Final Research Report
    • Peer Reviewed
  • [Journal Article] Sequential estimation of structural models with a fixed point constraint2012

    • Author(s)
      Hiroyuki Kasahara and Katsumi Shimotsu
    • Journal Title

      Econometrica

      Volume: 80 Issue: 5 Pages: 2303-2319

    • DOI

      10.3982/ecta8291

    • Related Report
      2012 Research-status Report
    • Peer Reviewed
  • [Journal Article] Exact local Whittle estimation of fractionally cointegrated systems2012

    • Author(s)
      Katsumi Shimotsu
    • Journal Title

      Journal of Econometrics

      Volume: 169 Issue: 2 Pages: 266-278

    • DOI

      10.1016/j.jeconom.2012.01.028

    • Related Report
      2012 Research-status Report
    • Peer Reviewed
  • [Presentation] Testing the Number of Components in Finite Mixture Models2013

    • Author(s)
      下津克己
    • Organizer
      Recent Advances in Statistical Theory and Applications for High Dimensional Data Analysis and Related Topics
    • Place of Presentation
      小樽商科大学
    • Year and Date
      2013-09-06
    • Related Report
      2013 Final Research Report
  • [Presentation] Testing the Number of Components in Finite Mixture Models2013

    • Author(s)
      下津克己
    • Organizer
      2013 International Conference in Financial Econometrics
    • Place of Presentation
      山東大学(中国)
    • Year and Date
      2013-07-07
    • Related Report
      2013 Final Research Report
  • [Presentation] Modified Quasi-Likelihood Ratio Test for Regime Switching2013

    • Author(s)
      下津克己
    • Organizer
      日本経済学会2013年度春季大会
    • Place of Presentation
      富山大学
    • Year and Date
      2013-06-23
    • Related Report
      2013 Final Research Report
  • [Presentation] Testing the Number of Components in Finite Mixture Models2013

    • Author(s)
      下津克己
    • Organizer
      Conference in Econometrics :"Partial Identification, Weak Identification, and Related Econometric Problems"
    • Place of Presentation
      Yale University(米国)
    • Year and Date
      2013-06-06
    • Related Report
      2013 Final Research Report
  • [Presentation] Testing the Number of Components in Finite Mixture Models2013

    • Author(s)
      下津克己
    • Organizer
      Recent Advances in Statistical Theory and Applications for High Dimensional Data Analysis and Related Topics
    • Place of Presentation
      小樽商科大学(北海道)
    • Related Report
      2013 Annual Research Report
    • Invited
  • [Presentation] Testing the Number of Components in Finite Mixture Econometric Models2013

    • Author(s)
      下津克己
    • Organizer
      Conference in Econometrics: "Partial Identification, Weak Identification, and Related Econometric Problems"
    • Place of Presentation
      Yale University, New Haven, USA
    • Related Report
      2013 Annual Research Report
    • Invited
  • [Presentation] Modified Likelihood Ratio Test for Regime Switching2013

    • Author(s)
      下津克己
    • Organizer
      日本経済学会2013年度春季大会
    • Place of Presentation
      富山大学(富山県)
    • Related Report
      2013 Annual Research Report
    • Invited
  • [Presentation] Testing the number of components in finite mixture econometric models2013

    • Author(s)
      下津克己
    • Organizer
      The 2013 International Conference on Financial Econometrics
    • Place of Presentation
      Shandong University, Jinnan, China
    • Related Report
      2013 Annual Research Report
    • Invited
  • [Presentation] Testing the Number of Components in Finite Mixture Models2012

    • Author(s)
      下津克己
    • Organizer
      29th Annual Meeting of Canadian Econometric Study Group
    • Place of Presentation
      キングストン(カナダ)
    • Year and Date
      2012-10-27
    • Related Report
      2013 Final Research Report
  • [Presentation] Testing the Number of Components in Finite Mixture Models2012

    • Author(s)
      下津克己
    • Organizer
      京都大学経済研究所研究会
    • Place of Presentation
      京都大学
    • Year and Date
      2012-08-29
    • Related Report
      2013 Final Research Report
  • [Presentation] Testing the number of components in finite mixture models2012

    • Author(s)
      Katsumi Shimotsu
    • Organizer
      CESG 2012
    • Place of Presentation
      キングストン(カナダ)
    • Related Report
      2012 Research-status Report
  • [Presentation] Testing the number of components in finite mixture models2012

    • Author(s)
      Katsumi Shimotsu
    • Organizer
      京都大学経済研究所研究会
    • Place of Presentation
      京都大学(京都府)
    • Related Report
      2012 Research-status Report
    • Invited
  • [Presentation] Local Quadratic Approximation in Finite Mixture Models and Testing the Number of Components2011

    • Author(s)
      下津克己
    • Organizer
      28th Annual Meeting of Canadian Econometric Study Group
    • Place of Presentation
      トロント
    • Year and Date
      2011-10-22
    • Related Report
      2013 Final Research Report
  • [Presentation] Local Quadratic Approximation in Finite Mixture Models and Testing the Number of Components2011

    • Author(s)
      下津克己
    • Organizer
      The 28th Annual Meeting of the Canadian Econometrics Study Group
    • Place of Presentation
      トロント
    • Related Report
      2011 Research-status Report

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Published: 2011-08-05   Modified: 2019-07-29  

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