Jackknife covariance matrix estimation for observations from mixture

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.

Keywords

• Finite mixture model
• orthogonal regression
• mixture with varying concentrations
• nonparametric estimation
• asymptotic covariance matrix estimation
• confidence ellipsoid