Nonparametric estimation of convex models via mixtures

Abstract

We present a general approach to estimating probability measures constrained to lie in a convex set. We represent constrained measures as mixtures of simple, known extreme measures, and so the problem of estimating a constrained measure becomes one of estimating an unconstrained mixing measure. Convex constraints arise in many modeling situations, such as estimation of the mean and estimation under stochastic ordering constraints. We describe mixture representation techniques for these and other situations, and discuss applications to maximum likelihood and Bayesian estimation.