Bernoulli

  • Bernoulli
  • Volume 26, Number 2 (2020), 828-857.

Robust estimation of mixing measures in finite mixture models

Nhat Ho, XuanLong Nguyen, and Ya’acov Ritov

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Abstract

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.

Article information

Source
Bernoulli, Volume 26, Number 2 (2020), 828-857.

Dates
Received: September 2017
Revised: October 2018
First available in Project Euclid: 31 January 2020

Permanent link to this document
https://projecteuclid.org/euclid.bj/1580461565

Digital Object Identifier
doi:10.3150/18-BEJ1087

Mathematical Reviews number (MathSciNet)
MR4058353

Zentralblatt MATH identifier
07166549

Keywords
convergence rates Fisher singularities minimum distance estimator mixture models model misspecification model selection strong identifiability superefficiency Wasserstein distances

Citation

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


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Supplemental materials

  • 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.