Continuous empirical characteristic function estimation of mixtures of normal parameters

Econometric Reviews

Volumn 30, Issue 1, 2010, Pages 25-50

  Xu, Dinghai ^a   Knight, John ^b  

^a UNIVERSITY OF WATERLOO   (Canada)

^b UNIVERSITY OF WESTERN ONTARIO   (Canada)

Author keywords

Empirical characteristic function; Mixtures of normal

Indexed keywords

EID: 78149420097     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474938.2011.520565     Document Type: Article

References (26)

1. Akaike, H. (1974). A new look at the statistical model identification. IEEE Transactions on Automatic Control 19(6):716-723.
2. Bozdogan, H. (1992). Choosing the number of component clusters in the mixture-model using a new information complexity criterion of the inverse-Fisher information matrix. In: Opitz, O., Lausen, B., Klar, R., eds. Information and Classification: Concepts, Methods and Applications. Heidelberg: Springer-Verlag, pp. 44-54.
3. Bozdogan, H. (1994). Mixture-model cluster analysis using model selection criteria and a new information measure of complexity. In: Bozdogan, H., ed. Proceedings of the First US/Japan Conference on the Frontiers of Statistical Modeling: An Informational Approach. Dordrecht, The Netherlands: Kluwer Academic Publishers, pp. 69-113.
4. Cohen, A. C. (1967). Estimation in mixtures of two normal distributions. Biometrika 56:15-28.
5. Day, N. E. (1969). Estimating the components of a mixture of normal distributions. Biometrika 56:463-474.
6. Everitt, B. S., Hand, D. J. (1981). Finite Mixture Distributions. New York: Chapman and Hall.
7. Feng, Z. D., McCulloch, C. E. (1995). Using bootstrap likelihood ratios in finite mixture models. Journal of the Royal Statistics Society B 58:609-617.
8. French, K. R. (1980). Stock returns and the weekend effect. Journal of Financial Economics 8(1): 55-70.
9. Jiang, G. J., Knight, J. (2002). Estimation of continuous-time processes via the empirical characteristic function. Journal of Business and Economic Statistics 20:198-212.
10. Heathcote, C. R. (1977). Integrated mean square error estimation of parameters. Biometrika 64: 255-264.
11. Kass, R. E., Raftery, A. E. (1995). Bayes factors. Journal of American Statistical Association 90:773-795.
12. Knight, J. L., Yu, J. (2002). Empirical characteristic function in time series estimation. Econometric Theory 18:691-721.
13. Kon, S. (1984). Models of stock returns - a comparison. The Journal of Finance 39:147-165.
14. McLachlan, G. (1987). On bootstrapping the likelihood ratio test statistic for the number of components in a normal mixture. Applied Statistics 38:318-324.
15. McLachlan, G. J., Basford, K. E. (1988). Mixture Models: Inference and Applications to Clustering. Marcel Dekker, Inc.
16. McLachlan, G., Peel, D. (2000). Finite Mixture Models. New York: Wiley.
17. Polymedis, A., Titterington, D. M. (1998). On the determinants of the number of components in a mixture. Statistics and Probability Letters 38:295-298.
18. Quandt, R. E. (1972). A new approach to estimating switching regressions. Journal of the American Statistical Association 67:306-310.
19. Quandt, R. E. (1988). The Econometrics of Disequilibrium. Basil Blackwell.
20. Quandt, R. E., Ramsey, J. B. (1978). Estimating mixtures of normal distributions and switching regressions. Journal of the American Statistical Association 73:730-738.
21. Schmidt, P. (1982). An improved version of the Quandt-Ramsey MGF estimator for mixtures of normal distributions and switching regressions. Econometrica 50:501-516.
22. Thode, H., Finch, S., Mendell, N. R. (1988). Simulated percentage points for the null distribution of the likelihood ratio test for a mixture of two normals. Biometrics 44(4):1195-1201.
23. Titterington, D. M., Smith, A. F. M., Makov, U. E. (1985). Statistical Analysis of Finite of Mixture Distributions. John Willey & Sons Ltd.
24. Tran, K. (1998). Estimating mixtures of normal distributions via empirical characteristic function. Econometric Reviews 17(2):167-183.
25. Yu, J. (1998). Empirical Characteristic Function in Time Series Estimation and a Test Statistic in Financial Modelling. Ph.D. thesis, The University of Western Ontario.
26. Yu, J. (2004). Empirical characteristic function estimation and its applications. Econometric Reviews 23:93-123.