- Volume 26, Number 2 (2020), 828-857.
Robust estimation of mixing measures in finite mixture models
In finite mixture models, apart from underlying mixing measure, true kernel density function of each subpopulation in the data is, in many scenarios, unknown. Perhaps the most popular approach is to choose some kernel functions that we empirically believe our data are generated from and use these kernels to fit our models. Nevertheless, as long as the chosen kernel and the true kernel are different, statistical inference of mixing measure under this setting will be highly unstable. To overcome this challenge, we propose flexible and efficient robust estimators of the mixing measure in these models, which are inspired by the idea of minimum Hellinger distance estimator, model selection criteria, and superefficiency phenomenon. We demonstrate that our estimators consistently recover the true number of components and achieve the optimal convergence rates of parameter estimation under both the well- and misspecified kernel settings for any fixed bandwidth. These desirable asymptotic properties are illustrated via careful simulation studies with both synthetic and real data.
Bernoulli, Volume 26, Number 2 (2020), 828-857.
Received: September 2017
Revised: October 2018
First available in Project Euclid: 31 January 2020
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Ho, Nhat; Nguyen, XuanLong; Ritov, Ya’acov. Robust estimation of mixing measures in finite mixture models. Bernoulli 26 (2020), no. 2, 828--857. doi:10.3150/18-BEJ1087. https://projecteuclid.org/euclid.bj/1580461565
- Supplement to “Robust estimation of mixing measures in finite mixture models”. In this supplemental material, we provide self-contained proofs of several key results in the paper.