12-096/III - The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation

• Authors
  Nalan Basturk, Erasmus University Rotterdam; Lennart Hoogerheide, VU University Amsterdam; Anne Opschoor, Erasmus University Rotterdam; Herman K. van Dijk, EUR & VU
• Publication date
  September 20, 2012

• Keywords
  finite mixtures, Student-t distributions, Importance Sampling, MCMC, Metropolis-Hastings algorithm, Expectation Maximization, Bayesian inference, R software
• JEL
  C11, C15