Semi-parametric specification tests for mixing distributions

Yue Fang (First Author)

科研成果: 期刊稿件期刊论文

摘要

We present a semi-parametric method for testing mixing distributions in the mixed Poisson model. The proposed method, which is based on the generalized method of moments, does not demand the complete specification of the probability function but only requires a specification of a set of moment conditions which the model should satisfy. We demonstrate that an explicit expression for moment relations between the mixing and the mixed distributions provides a natural way in selecting moment restrictions and model parameterization. The Monte Carlo evidence suggests that the test has satisfactory performance for moderate size samples.
源语言英语
页(从-至)2829-2839
期刊Computational Statistics & Data Analysis
52
5
DOI
出版状态已出版 - 2008

Corresponding author email

yfang@darkwing.uoregon.edu

关键词

  • Mixed Poisson distribution
  • Model specification
  • Monte Carlo simulation
  • Semi-parametric method

成果物的来源

  • ABDC-A
  • SCIE

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