The Semiparametric Normal Variance‐Mean Mixture Model
An i.i.d. sample \(X_1\),\dots, \(X_n\) is considered with PDF \[ p(x;(\alpha,\beta),G)=\int_0^\infty \varphi(x;\alpha+\beta/z,1/z)G(dz), \] where \(\varphi(x;a,s)\) is the normal density with mean \(a\) and variance \(s\), and \(\vartheta=(\alpha,\beta)\) is an unknown parameter, and \(G\) is an unknown mixing distribution. The author considers the problem of \(\vartheta\) and \(G\) estimation. Conditions of identification (unambiguous definiteness of \(\vartheta\) and \(G\) by the data distribution) are given. A semiparametric MLE is constructed and its consistency is demonstrated. Asymptotic normality of some improved estimator and its (nonparametric) efficiency are proven.
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