TY - JOUR

T1 - An exponential partial prior for improving nonparametric maximum likelihood estimation in mixture models

AU - Wang, Jiping

AU - Lindsay, Bruce G.

PY - 2008/1/1

Y1 - 2008/1/1

N2 - Given observations originating from a mixture distribution f [x ; Q (λ)] where the kernel f is known and the mixing distribution Q is unknown, we consider estimating a functional θ (Q) of Q. A natural estimator of such a functional can be obtained by substituting Q with its nonparametric maximum likelihood estimator (NPMLE), denoted here as over(Q, ̂). We demonstrate however, that the plug-in estimator θ (over(Q, ̂)) can be unstable or substantially biased due to large variability of over(Q, ̂) or structural properties of the parameter space of λ. In this paper we propose using a partial prior for Q to improve the estimation in motivating examples. In particular we propose an empirical Bayes estimation method based on an exponential prior, and show its effectiveness in improving estimation in motivating examples of binomial mixture.

AB - Given observations originating from a mixture distribution f [x ; Q (λ)] where the kernel f is known and the mixing distribution Q is unknown, we consider estimating a functional θ (Q) of Q. A natural estimator of such a functional can be obtained by substituting Q with its nonparametric maximum likelihood estimator (NPMLE), denoted here as over(Q, ̂). We demonstrate however, that the plug-in estimator θ (over(Q, ̂)) can be unstable or substantially biased due to large variability of over(Q, ̂) or structural properties of the parameter space of λ. In this paper we propose using a partial prior for Q to improve the estimation in motivating examples. In particular we propose an empirical Bayes estimation method based on an exponential prior, and show its effectiveness in improving estimation in motivating examples of binomial mixture.

KW - Empirical Bayes

KW - NPMLE

KW - Partial prior

KW - Penalized NPMLE

UR - http://www.scopus.com/inward/record.url?scp=37249052745&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=37249052745&partnerID=8YFLogxK

U2 - 10.1016/j.stamet.2007.03.004

DO - 10.1016/j.stamet.2007.03.004

M3 - Article

AN - SCOPUS:37249052745

VL - 5

SP - 30

EP - 45

JO - Statistical Methodology

JF - Statistical Methodology

SN - 1572-3127

IS - 1

ER -