Convergence of an iterative algorithm to the nonparametric MLE of a mixing distribution

Minwoo Chae, Ryan Martin and Stephen G. Walker

Statistics & Probability Letters, 2018, vol. 140, issue C, 142-146

Abstract: An iterative algorithm has been conjectured to converge to the nonparametric MLE of the mixing distribution. We give a rigorous proof of this conjecture and discuss the use of this algorithm for producing smooth mixing densities as near-MLEs.

Keywords: Bayesian update; Deconvolution; Mixture model; Predictive recursion; Smoothing (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2018.05.012

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