Nonparametric Mixture of Regression Models

Mian Huang, Runze Li and Shaoli Wang

Journal of the American Statistical Association, 2013, vol. 108, issue 503, 929-941

Abstract: Motivated by an analysis of U.S. house price index (HPI) data, we propose nonparametric finite mixture of regression models. We study the identifiability issue of the proposed models, and develop an estimation procedure by employing kernel regression. We further systematically study the sampling properties of the proposed estimators, and establish their asymptotic normality. A modified EM algorithm is proposed to carry out the estimation procedure. We show that our algorithm preserves the ascent property of the EM algorithm in an asymptotic sense. Monte Carlo simulations are conducted to examine the finite sample performance of the proposed estimation procedure. An empirical analysis of the U.S. HPI data is illustrated for the proposed methodology.

Date: 2013
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Citations: View citations in EconPapers (19)

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DOI: 10.1080/01621459.2013.772897

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