Stochastic Approximation and Newton’s Estimate of a Mixing Distribution

Abstract

Many statistical problems involve mixture models and the need for computationally efficient methods to estimate the mixing distribution has increased dramatically in recent years. Newton [Sankhyā Ser. A 64 (2002) 306–322] proposed a fast recursive algorithm for estimating the mixing distribution, which we study as a special case of stochastic approximation (SA). We begin with a review of SA, some recent statistical applications, and the theory necessary for analysis of a SA algorithm, which includes Lyapunov functions and ODE stability theory. Then standard SA results are used to prove consistency of Newton’s estimate in the case of a finite mixture. We also propose a modification of Newton’s algorithm that allows for estimation of an additional unknown parameter in the model, and prove its consistency.