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Development of Inference Methods for Finite Normal Mixture Models

Research Project

Project/Area Number 26380267
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

Principal Investigator

SHIMOTSU Katsumi  東京大学, 大学院経済学研究科(経済学部), 教授 (50547510)

Project Period (FY) 2014-04-01 – 2017-03-31
Project Status Completed (Fiscal Year 2016)
Budget Amount *help
¥4,680,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥1,080,000)
Fiscal Year 2016: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2015: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2014: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
Keywords正規有限混合モデル / 計量経済学 / 統計的推測 / 漸近理論 / 有限混合モデル / 正規混合回帰モデル
Outline of Final Research Achievements

This research project developed new inference methods for finite mixture of normal regression models (switching regression models) and multivariate normal mixture models. These mixture models have been used in numerous empirical applications in economics. The number of components is an important element of these mixture models. However, because the log-likelihood function of a normal mixture model has a non-standard structure, there exists no procedure to statistically test the number of components in these models. We develop a new approach to analyzing the log-likelihood function of these two models, and construct likelihood-based tests for the number of components. Further, we confirmed by computer simulations that the proposed tests show good finite sample performance.

Report

(4 results)
  • 2016 Annual Research Report   Final Research Report ( PDF )
  • 2015 Research-status Report
  • 2014 Research-status Report

Research Products

(11 results)

All 2017 2016 2015 2014 Other

All Int'l Joint Research (1 results) Journal Article (2 results) (of which Int'l Joint Research: 2 results,  Open Access: 1 results,  Acknowledgement Compliant: 2 results,  Peer Reviewed: 1 results) Presentation (8 results) (of which Int'l Joint Research: 5 results,  Invited: 1 results)

  • [Int'l Joint Research] University of British Columbia(カナダ)

    • Related Report
      2015 Research-status Report
  • [Journal Article] Testing the Order of Multivariate Normal Mixture Models2017

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

      CIRJE Discussion Paper F-1044

      Volume: - Pages: 1-33

    • Related Report
      2016 Annual Research Report
    • Open Access / Int'l Joint Research / Acknowledgement Compliant
  • [Journal Article] Testing the Number of Components in Normal Mixture Regression Models2015

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

      Journal of the American Statistical Association

      Volume: 110 Pages: 1632-1645

    • DOI

      10.1080/01621459.2014.986272

    • Related Report
      2015 Research-status Report 2014 Research-status Report
    • Peer Reviewed / Int'l Joint Research / Acknowledgement Compliant
  • [Presentation] Testing the Number of Regimes in Markov Regime Switching Models2016

    • Author(s)
      Katsumi Shimotsu
    • Organizer
      2016 Asia Meeting of the Econometric Society
    • Place of Presentation
      同志社大学(京都府京都市)
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Testing the Number of Regimes in Markov Regime Switching Models2016

    • Author(s)
      Katsumi Shimotsu
    • Organizer
      The 26th Annual Meeting of the Midwest Econometrics Group
    • Place of Presentation
      University of Illinois at Urbana-Champaign (アメリカ合衆国)
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Testing the Number of Regimes in Markov Regime Switching Models2016

    • Author(s)
      Katsumi Shimotsu
    • Organizer
      The 3rd Shandong Econometrics Conference
    • Place of Presentation
      Shandong University(中国)
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Testing the Number of Components in Normal Mixture Regression Models2015

    • Author(s)
      Katsumi Shimotsu
    • Organizer
      日本経済学会2015年度秋季大会
    • Place of Presentation
      上智大学(東京都千代田区)
    • Year and Date
      2015-10-11
    • Related Report
      2015 Research-status Report
  • [Presentation] Testing the Number of Components in Normal Mixture Regression Models2015

    • Author(s)
      Katsumi Shimotsu
    • Organizer
      2015 Joint Statistical Meeting
    • Place of Presentation
      Washington State Convention Center, Seattle (USA)
    • Year and Date
      2015-08-09
    • Related Report
      2015 Research-status Report
    • Int'l Joint Research
  • [Presentation] Testing the Number of Components in Normal Mixture Regression Models2015

    • Author(s)
      Katsumi Shimotsu
    • Organizer
      International Conference on "Frontiers of Theoretical Econometrics"
    • Place of Presentation
      University of Konstanz, Konstanz (Germany)
    • Year and Date
      2015-08-01
    • Related Report
      2015 Research-status Report
    • Int'l Joint Research
  • [Presentation] Testing the Number of Components in Normal Mixture Regression Models2014

    • Author(s)
      Hiroyuki Kasahara
    • Organizer
      31st Annual Meeting of the Canadian Econometric Study Group
    • Place of Presentation
      バンクーバー(カナダ)
    • Year and Date
      2014-10-04
    • Related Report
      2014 Research-status Report
  • [Presentation] Testing the Number of Components in Normal Mixture Regression Models2014

    • Author(s)
      Hiroyuki Kasahara
    • Organizer
      Workshop on Advances in Microeconometrics 2014
    • Place of Presentation
      強羅静雲荘(神奈川県足柄下郡)
    • Year and Date
      2014-06-29
    • Related Report
      2014 Research-status Report

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Published: 2014-04-04   Modified: 2018-03-22  

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