Estimating mixtures of normal distributions via empirical characteristic function

DOI10.1080/07474939808800410zbMath0903.62025OpenAlexW2024608863MaRDI QIDQ3842861

Kien C. Tran

Publication date: 8 November 1998

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939808800410

zbMATH Keywords

Monte Carlo simulationempirical characteristic functionmoment generating functiongrid pointsmixtures of normal distributionsconstrained maximum-likelihood

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12)

Related Items (11)

Empirical Characteristic Function Estimation and Its Applications ⋮ Parameter estimation for univariate Skew-Normal distribution based on the modified empirical characteristic function ⋮ Testing for normality with panel data ⋮ Option pricing for pure jump processes with Markov switching compensators ⋮ Compound truncated Poisson gamma distribution for understanding multimodal SAR intensities ⋮ Estimation of the stochastic conditional duration model via alternative methods ⋮ Tests for normal mixtures based on the empirical characteristic function ⋮ Maximum likelihood estimation of stochastic frontier models by the Fourier transform ⋮ An Efficient Estimation for Switching Regression Models: A Monte Carlo Study ⋮ Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters ⋮ Unnamed Item

Cites Work

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• Statistical analysis of finite mixture distributions
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• Multivariate Normal Mixtures: A Fast Consistent Method of Moments
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• Estimating the components of a mixture of normal distributions
• A New Approach to Estimating Switching Regressions

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