Jackknife covariance matrix estimation for observations from mixture

DOI10.15559/19-VMSTA145MaRDI QIDQ2178929zbMATH OpenOpenAlexFDO

Authors O. V. Sugakova, R. E. Maiboroda

Publication date 12 May 2020

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1912.07948

zbMATH Keywords

nonparametric estimationfinite mixture modeljackknifeerrors-in-variables modelorthogonal regressionmixture with varying concentrationsconfidence ellipsoidasymptotic covariance matrix estimation

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Linear regression; mixed models (62J05) Nonparametric statistical resampling methods (62G09) Nonparametric tolerance and confidence regions (62G15) Applications of statistics to social sciences (62P25)

Abstract: A general jackknife estimator for the asymptotic covariance of moment estimators is considered in the case when the sample is taken from a mixture with varying concentrations of components. Consistency of the estimator is demonstrated. A fast algorithm for its calculation is described. The estimator is applied to construction of confidence sets for regression parameters in the linear regression with errors in variables. An application to sociological data analysis is considered.

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Cited in

(9)

• Fast calculations of jackknife covariance matrix estimator
• Nonparametric estimation of standard errors in covariance analysis using the infinitesimal jackknife
• Lower bound for a dispersion matrix for the semiparametric estimation in a model of mixtures
• On jackknifing the symmetrized Tyler matrix
• Jackknife for nonlinear estimating equations
• Principal components analysis for mixtures with varying concentrations
• Asymptotic normality of modified LS estimator for mixture of nonlinear regressions
• Jackknifing, weighting, diagnostics and variance estimation in generalized \(M\)-estimation
• Adaptive estimation for a semiparametric model of mixture

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