Mixtures of nonparametric autoregressions

J. Franke, J.-P. Stockis, J. Tadjuidje-Kamgaing and W. Li

Journal of Nonparametric Statistics, 2011, vol. 23, issue 2, 287-303

Abstract: We consider data generating mechanisms which can be represented as mixtures of finitely many regression or autoregression models. We propose nonparametric estimators for the functions characterising the various mixture components based on a local quasi maximum likelihood approach and prove their consistency. We present an EM algorithm for calculating the estimates numerically which is mainly based on iteratively applying common local smoothers and discuss its convergence properties.

Date: 2011
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Citations: View citations in EconPapers (4)

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DOI: 10.1080/10485252.2010.539686

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