On the Variance Covariance Matrix of the Maximum Likelihood Estimator of a Discrete Mixture
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- Gauthier Lanot, 2002. "On the Variance Covariance Matrix of the Maximum Likelihood Estimator of a Discrete Mixture," Keele Economics Research Papers KERP 2002/07, Centre for Economic Research, Keele University.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Hartley, Roger & Lanot, Gauthier, 2006. "Heterogeneous demand responses to discrete price changes: an application to the purchase of lottery tickets," Computational Statistics & Data Analysis, Elsevier, vol. 50(3), pages 859-877, February.
- Lanot, Gauthier & Leece, David, 2010. "The Performance of UK Securitized Subprime Mortgage Debt: ‘Idiosyncratic’ Behaviour or Mortgage Design?," MPRA Paper 27137, University Library of Munich, Germany.
More about this item
KeywordsDiscrete Mixtures; EM Algorithm; Variance Covariance Matrix; Observed Information;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-11-10 (All new papers)
- NEP-ECM-2002-11-13 (Econometrics)
- NEP-RMG-2002-11-10 (Risk Management)
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