Estimation of the number of components of nonparametric multivariate finite mixture models

DOI10.1214/20-AOS2032MaRDI QIDQ2054486zbMATH OpenOpenAlexFDO

Authors Caleb Kwon, Eric Mbakop

Publication date 3 December 2021

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1908.03656, https://projecteuclid.org/journals/annals-of-statistics/volume-49/issue-4/Estimation-of-the-number-of-components-of-nonparametric-multivariate-finite/10.1214/20-AOS2032.full

zbMATH Keywords

finite mixture modelnonparametric mixtureconditional independencemultivariate datalatent model

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Abstract: We propose a novel estimator for the number of components (denoted by $M$) in a K-variate non-parametric finite mixture model, where the analyst has repeated observations of $Kgeq2$ variables that are independent given a finitely supported unobserved variable. Under a mild assumption on the joint distribution of the observed and latent variables, we show that an integral operator $T$, that is identified from the data, has rank equal to $M$. Using this observation, and the fact that singular values are stable under perturbations, the estimator of $M$ that we propose is based on a thresholding rule which essentially counts the number of singular values of a consistent estimator of $T$ that are greater than a data-driven threshold. We prove that our estimator of $M$ is consistent, and establish non-asymptotic results which provide finite sample performance guarantees for our estimator. We present a Monte Carlo study which shows that our estimator performs well for samples of moderate size.

Recommendations

• Non-Parametric Identification and Estimation of the Number of Components in Multivariate Mixtures
• Estimation of the number of components of finite mixtures of multivariate distributions
• Nonparametric Estimation of Multivariate Mixtures
• Nonparametric inference in multivariate mixtures
• An estimator of the number of components of a finite mixture of multivariate distributions

Cites work

• scientific article; zbMATH DE number 194139 (Why is no real title available?)
• Almost Nonparametric Inference for Repeated Measures in Mixture Models
• Bandwidth selection in an EM-like algorithm for nonparametric multivariate mixtures
• Estimating first-price auctions with an unknown number of bidders: a misclassification approach
• Estimating latent distributions
• Estimating multivariate latent-structure models
• Finite mixture models
• Identifiability of parameters in latent structure models with many observed variables
• Identification and estimation of incomplete information games with multiple equilibria
• Identification and estimation of nonlinear models with misclassification error using instrumental variables: a general solution
• Identification of first-price auctions with non-separable unobserved heterogeneity
• Identification of games of incomplete information with multiple equilibria and unobserved heterogeneity
• Learning theory estimates via integral operators and their approximations
• Linear integral equations.
• Maximum smoothed likelihood for multivariate mixtures
• Non-Parametric Estimation of Finite Mixtures from Repeated Measurements
• Non-Parametric Identification and Estimation of the Number of Components in Multivariate Mixtures
• Nonparametric Identification of Finite Mixture Models of Dynamic Discrete Choices
• Nonparametric estimation of component distributions in a multivariate mixture
• Nonparametric identification of dynamic models with unobserved state variables
• Nonparametric inference in multivariate mixtures
• On learning with integral operators
• Optimum bounds for the distributions of martingales in Banach spaces
• Probability Inequalities for Sums of Bounded Random Variables
• Random matrix approximation of spectra of integral operators
• Statistical properties of kernel principal component analysis
• Using mixtures in econometric models: a brief review and some new results

Cited in

(10)

• Nonparametric estimation of component distributions in a multivariate mixture
• Moment Estimation for Nonparametric Mixture Models through Implicit Tensor Decomposition
• On estimating the number of constituents of a finite mixture of continuous distributions
• Estimation of the number of components of finite mixtures of multivariate distributions
• On the posterior distribution of the number of components in a finite mixture
• Nonparametric identification and estimation of stochastic block models from many small networks
• Unsupervised clustering using nonparametric finite mixture models
• Estimating the number of components in finite mixture models via the group-sort-fuse procedure
• Simultaneous Semiparametric Estimation of Clustering and Regression
• Clustering Data with Nonignorable Missingness using Semi-Parametric Mixture Models

This page was built for publication: Estimation of the number of components of nonparametric multivariate finite mixture models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2054486)