Regularized Maximum Likelihood Estimation for the Random Coefficients Model

Fabian Dunker, Emil Mendoza, Marco Reale

The random coefficients model $Y_i={{\beta }_0}_i+{{\beta }_1}_i{X_1}_i+{{\beta }_2}_i{X_2}_i+\dots +{{\beta }_d}_i{X_d}_i$, with ${\mathbf{X}}_i$, $Y_i$, ${\beta }_i$ i.i.d, and ${\beta }_i$ independent of…