An Efficient Estimation for Switching Regression Models: A Monte Carlo Study

DOI10.1080/03610918.2010.497242MaRDI QIDQ3590015zbMATH OpenOpenAlexFDO

Authors Dinghai Xu

Publication date 17 September 2010

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2010.497242

zbMATH Keywords

characteristic functionGaussian mixturesintegrated squared errorswitching regression

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

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Cites work

• An Improved Version of the Quandt-Ramsey MGF Estimator for Mixtures of Normal Distributions and Switching Regressions
• Empirical Characteristic Function Estimation and Its Applications
• EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
• Estimating mixtures of normal distributions via empirical characteristic function
• Estimating the components of a mixture of normal distributions
• Finite mixture models
• scientific article; zbMATH DE number 3731128 (Why is no real title available?)
• scientific article; zbMATH DE number 3366405 (Why is no real title available?)
• Integrated squared error estimation of Cauchy parameters
• Integrated squared error estimation of normal mixtures
• Multivariate binary discrimination by the kernel method
• Statistical analysis of finite mixture distributions
• The estimation of the parameters of the stable laws
• The integrated squared error estimation of parameters

Cited in

(5)

• Simulation estimation of dynamic switching regression and dynamic disequilibrium models - some Monte Carlo results
• Switching Regression Models with Imperfect Sample Separation Information--With an Application on Cartel Stability
• A generalized panel data switching regression model
• scientific article; zbMATH DE number 7723598 (Why is no real title available?)
• Efficient estimation using the characteristic function

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