Non-Parametric Estimation of Finite Mixtures from Repeated Measurements
Stéphane Bonhomme, Koen Jochmans, Jean‐Marc Robin · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2015
Summary This paper provides methods to estimate finite mixtures from data with repeated measurements non-parametrically. We present a constructive identification argument and use it to develop simple two-step estimators of the component distributions and all their functionals. We discuss a computationally efficient method for estimation and derive asymptotic theory. Simulation experiments suggest that our theory provides confidence intervals with good coverage in small samples.