An Efficient Estimation for Switching Regression Models: A Monte Carlo Study

DOI10.1080/03610918.2010.497242zbMath1195.62022OpenAlexW1980353310MaRDI QIDQ3590015

Dinghai Xu

Publication date: 17 September 2010

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2010.497242

zbMATH Keywords

switching regressioncharacteristic functionGaussian mixturesintegrated squared error

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Point estimation (62F10) Monte Carlo methods (65C05)

Cites Work

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• Integrated squared error estimation of normal mixtures
• Integrated squared error estimation of Cauchy parameters
• Empirical Characteristic Function Estimation and Its Applications
• Estimating mixtures of normal distributions via empirical characteristic function
• The estimation of the parameters of the stable laws
• Multivariate binary discrimination by the kernel method
• The integrated squared error estimation of parameters
• An Improved Version of the Quandt-Ramsey MGF Estimator for Mixtures of Normal Distributions and Switching Regressions
• EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
• Estimating the components of a mixture of normal distributions

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