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Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters

Dinghai Xu and John Knight

No 8006, Working Papers from University of Waterloo, Department of Economics

Abstract: This paper develops an e±cient method for estimating the discrete mix- tures of normal family based on the continuous empirical characteristic function (CECF). An iterated estimation procedure based on the closed form objective distance function is proposed to improve the estimation effciency. The results from the Monte Carlo simulation reveal that the CECF estimator produces good finite sample properties. In particular, it outperforms the discrete type of methods when the maximum likelihood estimation fails to converge. An empirical example is provided for illustrative purposes.

Keywords: Empirical characteristic function; Mixtures of normal. (search for similar items in EconPapers)
JEL-codes: C13 C15 C16 (search for similar items in EconPapers)
Date: 2008-12
New Economics Papers: this item is included in nep-ecm
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Journal Article: Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters (2011) Downloads
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