Finite Mixture of Heteroscedastic Single-Index Models

• 作者: Peng Zeng
• 来源期刊: 统计学期刊(英文)
• 学科: 数学
• 关键词: EM Algorithm FINITE MIXTURE MODEL HETEROGENEITY HETEROSCEDASTICITY Local Linear SMOOTHING Single-Index MODEL
• 年，卷（期）: 2012,（1）
• 页码范围: 12-20
• 页数: 9页
• 分类号: O21

摘要

In many applications a heterogeneous population consists of several subpopulations. When each subpopulation can be adequately modeled by a heteroscedastic single-index model, the whole population is characterized by a finite mixture of heteroscedastic single-index models. In this article, we propose an estimation algorithm for fitting this model, and discuss the implementation in detail. Simulation studies are used to demonstrate the performance of the algorithm, and a real example is used to illustrate the application of the model.