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Models of unobserved heterogeneity, or frailty as it is commonly known in survival analysis, can often be formulated as semiparametric mixture models and estimated by maximum likelihood as proposed by Robbins (1950) and elaborated by Kiefer and Wolfowitz (1956). Recent developments in convex...
Persistent link: https://www.econbiz.de/10011941489
Statistical models of unobserved heterogeneity are typically formalized as mixtures of simple parametric models and interest naturally focuses on testing for homogeneity versus general mixture alternatives. Many tests of this type can be interpreted as C(») tests, as in Neyman (1959), and shown...
Persistent link: https://www.econbiz.de/10011941493
Single index linear models for binary response with random coefficients have been extensively employed in many econometric settings under various parametric specifications of the distribution of the random coefficients. Nonparametric maximum likelihood estimation (NPMLE) as proposed by Cosslett...
Persistent link: https://www.econbiz.de/10011941550
Empirical Bayes methods for Gaussian compound decision problems involving longitudinal data are considered. The new convex optimization formulation of the nonparametric (Kiefer-Wolfowitz) maximum likelihood estimator for mixture models is employed to construct nonparametric Bayes rules for...
Persistent link: https://www.econbiz.de/10011445700
Statistical models of unobserved heterogeneity are typically formalized as mix- tures of simple parametric models and interest naturally focuses on testing for homogeneity versus general mixture alternatives. Many tests of this type can be interpreted as C(») tests, as in Neyman (1959), and...
Persistent link: https://www.econbiz.de/10010318728
Efron's elegant approach to g-modeling for empirical Bayes problems is contrasted with an implementation of the Kiefer-Wolfowitz nonparametric maximum likelihood estimator for mixture models for several examples. The latter approach has the advantage that it is free of tuning parameters and...
Persistent link: https://www.econbiz.de/10012146365