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

DOI10.1214/20-AOS2032zbMATH Open1486.62085arXiv1908.03656OpenAlexW3202852176MaRDI QIDQ2054486FDOQ2054486

Authors: Caleb Kwon, Eric Mbakop 

Publication date: 3 December 2021

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

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.

Full work available at URL: https://arxiv.org/abs/1908.03656

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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)

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Cited In (10)

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

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