Jackknife covariance matrix estimation for observations from mixture

Maiboroda, Rostyslav; Sugakova, Olena

doi:10.15559/19-VMSTA145

Modern Stochastics: Theory and Applications

Jackknife covariance matrix estimation for observations from mixture

Volume 6, Issue 4 (2019), pp. 495–513

Rostyslav Maiboroda Olena Sugakova

https://doi.org/10.15559/19-VMSTA145

Pub. online: 7 November 2019 Type: Research Article

Open Access

Received
20 May 2019

Revised
7 September 2019

Accepted
14 October 2019

Published
7 November 2019

Abstract

A general jackknife estimator for the asymptotic covariance of moment estimators is considered in the case when the sample is taken from a mixture with varying concentrations of components. Consistency of the estimator is demonstrated. A fast algorithm for its calculation is described. The estimator is applied to construction of confidence sets for regression parameters in the linear regression with errors in variables. An application to sociological data analysis is considered.

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Keywords

Finite mixture model orthogonal regression mixture with varying concentrations nonparametric estimation asymptotic covariance matrix estimation confidence ellipsoid jackknife errors-in-variables model

MSC2010

62J05 62G20

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