Estimating Mixtures of Regressions.

This paper shows how Bayesian inference for switching regression models and their generalisations can be achieved by the specification of loss functions which overcome the label switching problem common to all mixture models. We also derive an extension to models where the number of components of mixture is unknown, based on the birth-and-death technique of Stephens (2000). The methods are illustrated on various real datasets.

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Year of publication:	2000
Authors:	Hurn, M. ; Justel, A. ; Robert, C.P.
Subject:	STATISTICAL ANALYSIS \| ESTIMATOR \| REGRESSION ANALYSIS

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Type of publication:	Book / Working Paper
Notes:	34 pages
Classification:	C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General ; C20 - Econometric Methods: Single Equation Models. General ; C11 - Bayesian Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005641079