Fast nonparametric near-maximum likelihood estimation of a mixing density

11 Dec 2017  ·  Chae Minwoo, Martin Ryan, Walker Stephen G. ·

Mixture models are regularly used in density estimation applications, but the problem of estimating the mixing distribution remains a challenge. Nonparametric maximum likelihood produce estimates of the mixing distribution that are discrete, and these may be hard to interpret when the true mixing distribution is believed to have a smooth density... In this paper, we investigate an algorithm that produces a sequence of smooth estimates that has been conjectured to converge to the nonparametric maximum likelihood estimator. Here we give a rigorous proof of this conjecture, and propose a new data-driven stopping rule that produces smooth near-maximum likelihood estimates of the mixing density, and simulations demonstrate the quality empirical performance of this estimator. read more

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Computation Statistics Theory Statistics Theory

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