Nonparametric estimation of the mixing density using polynomials

DOI10.3103/S1066530715030023MaRDI QIDQ258036zbMATH OpenOpenAlexWikidataFDO

Authors François Roueff, Tabea Rebafka

Publication date 17 March 2016

Published in Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1002.4516

zbMATH Keywords

nonparametric estimationsupport estimationexponential mixturegamma shape mixturemixing densitypolynomial approximationscale mixture

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20)

Abstract: We consider the problem of estimating the mixing density $f$ from $n$ i.i.d. observations distributed according to a mixture density with unknown mixing distribution. In contrast with finite mixtures models, here the distribution of the hidden variable is not bounded to a finite set but is spread out over a given interval. We propose an approach to construct an orthogonal series estimator of the mixing density $f$ involving Legendre polynomials. The construction of the orthonormal sequence varies from one mixture model to another. Minimax upper and lower bounds of the mean integrated squared error are provided which apply in various contexts. In the specific case of exponential mixtures, it is shown that the estimator is adaptive over a collection of specific smoothness classes, more precisely, there exists a constant $Aextgreater0$ such that, when the order $m$ of the projection estimator verifies $msimAlog(n)$, the estimator achieves the minimax rate over this collection. Other cases are investigated such as Gamma shape mixtures and scale mixtures of compactly supported densities including Beta mixtures. Finally, a consistent estimator of the support of the mixing density $f$ is provided.

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Cited in

(6)

• Fisher-Pitman Permutation Tests Based on Nonparametric Poisson Mixtures with Application to Single Cell Genomics
• Orthogonal series density estimation in mixture models
• Convergence of an iterative algorithm to the nonparametric MLE of a mixing distribution
• Adaptive Laguerre density estimation for mixed Poisson models
• Nonparametric estimation of mixing densities for discrete distributions
• Moments of the poly-Cauchy density with applications in estimation

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