Convergence rate for predictive recursion estimation of finite mixtures
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Abstract: Predictive recursion (PR) is a fast stochastic algorithm for nonparametric estimation of mixing distributions in mixture models. It is known that the PR estimates of both the mixing and mixture densities are consistent under fairly mild conditions, but currently very little is known about the rate of convergence. Here I first investigate asymptotic convergence properties of the PR estimate under model misspecification in the special case of finite mixtures with known support. Tools from stochastic approximation theory are used to prove that the PR estimates converge, to the best Kullback--Leibler approximation, at a nearly root- rate. When the support is unknown, PR can be used to construct an objective function which, when optimized, yields an estimate the support. I apply the known-support results to derive a rate of convergence for this modified PR estimate in the unknown support case, which compares favorably to known optimal rates.
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Cites work
- scientific article; zbMATH DE number 53676 (Why is no real title available?)
- scientific article; zbMATH DE number 1219005 (Why is no real title available?)
- scientific article; zbMATH DE number 1972910 (Why is no real title available?)
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Cited in
(8)- An Approximate Bayesian Marginal Likelihood Approach for Estimating Finite Mixtures
- Strong identifiability and optimal minimax rates for finite mixture estimation
- Asymptotic properties of predictive recursion: robustness and rate of convergence
- A survey of nonparametric mixing density estimation via the predictive recursion algorithm
- Asymptotically optimal nonparametric empirical Bayes via predictive recursion
- Semiparametric inference in mixture models with predictive recursion marginal likelihood
- A PRticle filter algorithm for nonparametric estimation of multivariate mixing distributions
- Optimal Bayesian estimation of Gaussian mixtures with growing number of components
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