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arXiv · 1812.02149

On nonparametric estimation of a mixing density via the predictive recursion algorithm

Ryan Martin
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Abstract

Nonparametric estimation of a mixing density based on observations from the corresponding mixture is a challenging statistical problem. This paper surveys the literature on a fast, recursive estimator based on the predictive recursion algorithm. After introducing the algorithm and giving a few examples, I summarize the available asymptotic convergence theory, describe an important semiparametric extension, and highlight two interesting applications. I conclude with a discussion of several recent developments in this area and some open problems.

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Ryan Martin. 2018-12-05. On nonparametric estimation of a mixing density via the predictive recursion algorithm. https://doi.org/10.1007/s13571-019-00206-w

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