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Finite Mixture of Heteroscedastic Single-Index Models

Author(s): Peng Zeng

Journal: Open Journal of Statistics
ISSN 2161-718X

Volume: 02;
Issue: 01;
Start page: 12;
Date: 2012;
Original page

Keywords: EM Algorithm | Finite Mixture Model | Heterogeneity | Heteroscedasticity | Local Linear Smoothing | Single-Index Model

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.
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