Consistency of a recursive estimate of mixing distributions

DOI10.1214/08-AOS639zbMATH Open1173.62020arXiv0908.3418OpenAlexW3103405120MaRDI QIDQ834348FDOQ834348

Authors: Surya T. Tokdar, Ryan Martin, Jayanta K. Ghosh 

Publication date: 19 August 2009

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

Abstract: 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.

Full work available at URL: https://arxiv.org/abs/0908.3418

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zbMATH Keywords

mixture modelsempirical Bayesrecursive density estimation

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric estimation (62G05) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Monte Carlo methods (65C05) Sequential estimation (62L12)

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Cited In (28)

• On two fast algorithms for estimating the mixing distribution in mixture models
• A class of models for Bayesian predictive inference
• An Approximate Bayesian Marginal Likelihood Approach for Estimating Finite Mixtures
• Convergence rate for predictive recursion estimation of finite mixtures
• Asymptotically Optimal Nonparametric Empirical Bayes Via Predictive Recursion
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• Stochastic approximation and Newton's estimate of a mixing distribution
• On the residuality of mixing by convolutions probabilities
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• Almost sure convergence of Titterington's recursive estimator for mixture models
• The rate of complete consistency for recursive probability density estimator under strong mixing samples
• A Laplace transform inversion method for probability distribution functions
• Estimating a mixing distribution on the sphere using predictive recursion

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