2013 Fiscal Year Final Research Report
Development of inference methods for finite mixture models
| Project/Area Number |
23530249
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | The University of Tokyo (2012-2013)
Hitotsubashi University (2011) |
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Principal Investigator |
SHIMOTSU Katsumi 東京大学, 経済学研究科(研究院), 教授 (50547510)
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| Project Period (FY) |
2011 – 2013
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| Keywords | 有限混合モデル / 計量経済学 / 統計的推測 / 漸近理論 |
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| 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.
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