matlab构建高斯混合模型,matlab实现高斯混合模型

GMM

This program is for GMM estimation

input:

moment: moment conditions function defined by users

para0:initial value for estimated parameters

Y,X:data used to estimate parameters

Z: data for instrument variables

number: maximum convergence number when choosing optimal weighting matrix

K:number of moment conditions

output:

paraest:parameters estimated

%t_sta: T statistics for each estimated parameter

%V:covariance matrix for estimated parameters

it: number of iteration

Chi_sta and Pvalue: overidentifying test, null hypothesis is moment

conditions are feasible