EconPapers    
Economics at your fingertips  
 

Bayesian deconvolution: an R vinaigrette

Roger Koenker ()
Additional contact information
Roger Koenker: Institute for Fiscal Studies and UCL

No CWP38/17, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: Nonparametric maximum likelihood estimation of general mixture models pioneered by the work of Kiefer and Wolfowitz (1956) has been recently reformulated as an exponential family regression spline problem in Efron (2016). Both approaches yield a low dimensional estimate of the mixing distribution, g-modeling in the terminology of Efron. Some casual empiricism suggests that the Efron approach is preferable when the mixing distribution has a smooth density, while Kiefer-Wolfowitz is preferable for discrete mixing settings. In the classical Gaussian deconvolution problem both maximum likelihood methods appear to be preferable to (Fourier) kernel methods. Kernel smoothing of the Kiefer-Wolfowitz estimator appears to be competitive with the Efron procedure for smooth alternatives.

New Economics Papers: this item is included in nep-ecm
Date: 2017-08-10
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.ifs.org.uk/uploads/cemmap/wps/CWP381717.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:38/17

Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE

Access Statistics for this paper

More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman ().

 
Page updated 2019-09-15
Handle: RePEc:ifs:cemmap:38/17