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Easy and flexible mixture distributions

  • Fosgerau, Mogens
  • Mabit, Stefan

We propose a method to generate flexible mixture distributions that are useful for estimating models such as the mixed logit model using simulation. The method is easy to implement, yet it can approximate essentially any mixture distribution. We test it with good results in a simulation study and on real data.

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File URL: http://mpra.ub.uni-muenchen.de/46078/1/MPRA_paper_46078.pdf
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File URL: http://mpra.ub.uni-muenchen.de/49147/1/MPRA_paper_46078.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 46078.

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Date of creation: 2013
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Handle: RePEc:pra:mprapa:46078
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  1. Fosgerau, Mogens & Bierlaire, Michel, 2007. "A practical test for the choice of mixing distribution in discrete choice models," Transportation Research Part B: Methodological, Elsevier, vol. 41(7), pages 784-794, August.
  2. Hajivassiliou, Vassilis A & Ruud, Paul A., 1993. "Classical Estimation Methods for LDV Models Using Simulation," Department of Economics, Working Paper Series qt3cg196fr, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  3. Fosgerau, Mogens, 2006. "Investigating the distribution of the value of travel time savings," Transportation Research Part B: Methodological, Elsevier, vol. 40(8), pages 688-707, September.
  4. Fosgerau, Mogens & Nielsen, Søren Feodor, 2010. "Deconvoluting Preferences And Errors: A Model For Binomial Panel Data," Econometric Theory, Cambridge University Press, vol. 26(06), pages 1846-1854, December.
  5. Chen, Xiaohong, 2007. "Large Sample Sieve Estimation of Semi-Nonparametric Models," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 76 Elsevier.
  6. Allen Fleishman, 1978. "A method for simulating non-normal distributions," Psychometrika, Springer, vol. 43(4), pages 521-532, December.
  7. Kenneth Train, 2003. "Discrete Choice Methods with Simulation," Online economics textbooks, SUNY-Oswego, Department of Economics, number emetr2, December.
  8. Bierens, Herman J., 2008. "Semi-Nonparametric Interval-Censored Mixed Proportional Hazard Models: Identification And Consistency Results," Econometric Theory, Cambridge University Press, vol. 24(03), pages 749-794, June.
  9. Gallant, A Ronald & Nychka, Douglas W, 1987. "Semi-nonparametric Maximum Likelihood Estimation," Econometrica, Econometric Society, vol. 55(2), pages 363-90, March.
  10. repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
  11. Headrick, Todd C., 2002. "Fast fifth-order polynomial transforms for generating univariate and multivariate nonnormal distributions," Computational Statistics & Data Analysis, Elsevier, vol. 40(4), pages 685-711, October.
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