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作者机构:Case Western Reserve Univ Dept Math Appl Math & Stat Cleveland OH 44106 USA North Carolina State Univ Dept Stat Raleigh NC 27695 USA Univ Texas Austin Dept Math Austin TX 78712 USA
出 版 物:《STATISTICS AND COMPUTING》 (统计学与计算)
年 卷 期:2019年第29卷第4期
页 面:645-654页
核心收录:
学科分类:0202[经济学-应用经济学] 02[经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学(可授理学、经济学学位)] 0812[工学-计算机科学与技术(可授工学、理学学位)]
基 金:NSF [DMS-1611791 DMS-1612891]
主 题:Brownian motion first passage time Convergence Expectation-maximization Iterative algorithm Mixture model
摘 要:In this paper we use an iterative algorithm for solving Fredholm equations of the first kind. The basic algorithm and convergence properties are known under certain conditions, but we provide a simpler convergence proof without requiring the restrictive conditions that have previously been needed. Several examples of independent interest are given, including mixing density estimation and a first passage time density function involving Brownian motion. We also develop the basic algorithm to include functions which are not necessarily non-negative and, again, present illustrations.