Two-stage residual mixture fitting

ID: two-stage-residual-mixture-fitting

Fitting a mixture model to regression residuals treats the fitted mean adjustment as fixed. Even with independent homoscedastic errors, ordinary least-squares residuals have covariance matrix and satisfy fitted linear constraints, so they are not exactly independent observations. A joint mixture regression with shared slopes or a bootstrap of the whole fitting process better accounts for the first-stage estimation uncertainty.

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