Maximum smoothed likelihood estimation for a class of semiparametric Pareto mixture densities

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	Maximum smoothed likelihood estimation for a class of semiparametric Pareto mixture densities
	Huang, Mian 1; Wang, Shaoli 1; Wang, Hansheng 2; Jin, Tian 3
刊名	STATISTICS AND ITS INTERFACE
	2018
卷号	11 期号:1 页码:31-40
关键词	Semiparametric mixture models EM algorithm Maximum smoothed likelihood estimation Pareto mixture densities Bandwidth selection
ISSN号	1938-7989
英文摘要	Motivated by an analysis of Return On Equity (ROE) data, we propose a class of semiparametric mixture models. The proposed models have a symmetric nonparametric component and a parametric component of Pareto distribution with unknown parameters. However, situations with general parametric components other than Pareto distribution are also investigated. We prove that these mixture models are identifiable, and establish a novel estimation procedure via smoothed likelihood and profile-likelihood techniques. For ease of computation, we develop a new EM algorithm to facilitate the maximization problem. We show that this EM algorithm possesses the ascent property. A rule-of-thumb based procedure is proposed to select the bandwidth of the nonparametric component. Simulation studies demonstrate good performance of the proposed methodology. Furthermore, we analyze the ROE dataset which may consist of real and manipulated earnings. Our analysis reveals significant earning manipulation in the Chinese listed companies from a quantitative perspective using the proposed model.
WOS研究方向	Mathematical & Computational Biology ; Mathematics
语种	英语
出版者	INT PRESS BOSTON, INC
WOS记录号	WOS:000426873400003
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/790]
专题	上海财经大学
通讯作者	Wang, Shaoli
作者单位	1.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China; 2.Peking Univ, Guanghua Sch Management, Dept Business Stat & Econometr, Beijing, Peoples R China; 3.Shanghai Stock Exchange, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Huang, Mian,Wang, Shaoli,Wang, Hansheng,et al. Maximum smoothed likelihood estimation for a class of semiparametric Pareto mixture densities[J]. STATISTICS AND ITS INTERFACE,2018,11(1):31-40.
APA	Huang, Mian,Wang, Shaoli,Wang, Hansheng,&Jin, Tian.(2018).Maximum smoothed likelihood estimation for a class of semiparametric Pareto mixture densities.STATISTICS AND ITS INTERFACE,11(1),31-40.
MLA	Huang, Mian,et al."Maximum smoothed likelihood estimation for a class of semiparametric Pareto mixture densities".STATISTICS AND ITS INTERFACE 11.1(2018):31-40.