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ridge shrinkage estimators in finite mixture of generalized estimating equations.
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نویسنده
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nezamdoust sajad ,eskandari farzad
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منبع
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journal of mathematics and modeling in finance - 2022 - دوره : 2 - شماره : 2 - صفحه:91 -106
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چکیده
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The paper considers the problem of estimation of the parameters in nite mixture models.in this article, a new method is proposed for of estimation of the parameters in nite mixture models. traditionally, the parameter estimation in nite mixture models is performed from a likelihood point of view by exploiting the expectation maximization (em) method and the least square principle. ridge regression is an alternative to the ordinary least squares method when multicollinearity presents among the regressor variables in multiple linear regression analysis. accordingly, we propose a new shrinkage ridge estimation approach. based on this principle, we propose an iterative algorithm called ridgeiterative weighted least square (riwls) to estimate the parameters. monte-carlo simulation studies are conducted to appraise the performance of our method. the results show that the proposed estimator perform better than the iwls method.
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کلیدواژه
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finite mixture model ,least square principle ,iterative weighted least square ,ridge estimation
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آدرس
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allameh tabatabaiuniversity, faculty of mathematical sciences and computer, department of statistics, iran, allameh tabatabai university, faculty of statistics, mathematics and computer, department of statistics, iran
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پست الکترونیکی
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askandari@atu.ac.ir
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Authors
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