Consistency of a recursive estimate of mixing distributions

Details Consistency of a recursive estimate of mixing distributions Consistency of a recursive estimate of mixing distributions

2009-08-24

arxiv.org/abs/0908.3418v1

Annals of Statistics 2009, Vol. 37, No. 5A, 2502-2522

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/08-AOS639 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of

Scientific paper

10.1214/08-AOS639

Mixture models have received considerable attention recently and Newton [Sankhy\={a} Ser. A 64 (2002) 306--322] proposed a fast recursive algorithm for estimating a mixing distribution. We prove almost sure consistency of this recursive estimate in the weak topology under mild conditions on the family of densities being mixed. This recursive estimate depends on the data ordering and a permutation-invariant modification is proposed, which is an average of the original over permutations of the data sequence. A Rao--Blackwell argument is used to prove consistency in probability of this alternative estimate. Several simulations are presented, comparing the finite-sample performance of the recursive estimate and a Monte Carlo approximation to the permutation-invariant alternative along with that of the nonparametric maximum likelihood estimate and a nonparametric Bayes estimate.

Affiliated with

Also associated with

No associations

Rating

Consistency of a recursive estimate of mixing distributions does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Consistency of a recursive estimate of mixing distributions, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Consistency of a recursive estimate of mixing distributions will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-698428