Easy and flexible mixture distributions

Mogens Fosgerau; Stefan L. Mabit

doi:10.1016/j.econlet.2013.03.050

Easy and flexible mixture distributions

Mogens Fosgerau^*, Stefan L. Mabit

^*Corresponding author for this work

Department of Economics

19 Citations (Scopus)

Abstract

We propose a method to generate flexible mixture distributions that are useful for estimating models such as the mixed logit model using simulation. The method is easy to implement, yet it can approximate essentially any mixture distribution. We test it with good results in a simulation study and on real data.

Original language	English
Journal	Economics Letters
Volume	120
Issue number	2
Pages (from-to)	206-210
Number of pages	5
ISSN	0165-1765
DOIs	https://doi.org/10.1016/j.econlet.2013.03.050
Publication status	Published - Aug 2013

Keywords

Maximum simulated likelihood
Mixed logit
Mixture distributions
Simulation

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10.1016/j.econlet.2013.03.050

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title = "Easy and flexible mixture distributions",

abstract = "We propose a method to generate flexible mixture distributions that are useful for estimating models such as the mixed logit model using simulation. The method is easy to implement, yet it can approximate essentially any mixture distribution. We test it with good results in a simulation study and on real data.",

keywords = "Maximum simulated likelihood, Mixed logit, Mixture distributions, Simulation",

author = "Mogens Fosgerau and Mabit, {Stefan L.}",

year = "2013",

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AU - Fosgerau, Mogens

AU - Mabit, Stefan L.

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AB - We propose a method to generate flexible mixture distributions that are useful for estimating models such as the mixed logit model using simulation. The method is easy to implement, yet it can approximate essentially any mixture distribution. We test it with good results in a simulation study and on real data.

KW - Maximum simulated likelihood

KW - Mixed logit

KW - Mixture distributions

KW - Simulation

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VL - 120

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JO - Economics Letters

JF - Economics Letters

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Easy and flexible mixture distributions

Abstract

Keywords

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