Statistical Inference and Applications of Mixture of Varying Coefficient Models

doi:10.1111/sjos.12316

CORC > 上海财经大学 > 上海财经大学

	Statistical Inference and Applications of Mixture of Varying Coefficient Models
	Huang, Mian 1,2; Wang, Shaoli 1,2; Yao, Weixin 3; Chen, Yixin 4
刊名	SCANDINAVIAN JOURNAL OF STATISTICS
	2018-09
卷号	45 期号:3 页码:618-643
关键词	generalized likelihood ratio test identifiability local likelihood mixture model varying coefficient model
ISSN号	0303-6898
DOI	10.1111/sjos.12316
英文摘要	In this paper, we consider a new mixture of varying coefficient models, in which each mixture component follows a varying coefficient model and the mixing proportions and dispersion parameters are also allowed to be unknown smooth functions. We systematically study the identifiability, estimation and inference for the new mixture model. The proposed new mixture model is rather general, encompassing many mixture models as its special cases such as mixtures of linear regression models, mixtures of generalized linear models, mixtures of partially linear models and mixtures of generalized additive models, some of which are new mixture models by themselves and have not been investigated before. The new mixture of varying coefficient model is shown to be identifiable under mild conditions. We develop a local likelihood procedure and a modified expectation-maximization algorithm for the estimation of the unknown non-parametric functions. Asymptotic normality is established for the proposed estimator. A generalized likelihood ratio test is further developed for testing whether some of the unknown functions are constants. We derive the asymptotic distribution of the proposed generalized likelihood ratio test statistics and prove that the Wilks phenomenon holds. The proposed methodology is illustrated by Monte Carlo simulations and an analysis of a CO2-GDP data set.
WOS研究方向	Mathematics
语种	英语
出版者	WILEY
WOS记录号	WOS:000442500900010
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/536]
专题	上海财经大学
通讯作者	Yao, Weixin
作者单位	1.Shanghai Univ Finance & Econ, Minist Educ, Sch Stat & Management, Shanghai, Peoples R China; 2.Shanghai Univ Finance & Econ, Minist Educ, Key Lab Math Econ SHUFE, Shanghai, Peoples R China; 3.Univ Calif Riverside, Dept Stat, Riverside, CA 92521 USA; 4.Sanofi Genzyme, Dept Biostat & Programming, Cambridge, MA USA
推荐引用方式 GB/T 7714	Huang, Mian,Wang, Shaoli,Yao, Weixin,et al. Statistical Inference and Applications of Mixture of Varying Coefficient Models[J]. SCANDINAVIAN JOURNAL OF STATISTICS,2018,45(3):618-643.
APA	Huang, Mian,Wang, Shaoli,Yao, Weixin,&Chen, Yixin.(2018).Statistical Inference and Applications of Mixture of Varying Coefficient Models.SCANDINAVIAN JOURNAL OF STATISTICS,45(3),618-643.
MLA	Huang, Mian,et al."Statistical Inference and Applications of Mixture of Varying Coefficient Models".SCANDINAVIAN JOURNAL OF STATISTICS 45.3(2018):618-643.