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

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  • Chae, Minwoo
  • Martin, Ryan
  • Walker, Stephen G.

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.

Suggested Citation

  • Chae, Minwoo & Martin, Ryan & Walker, Stephen G., 2018. "Convergence of an iterative algorithm to the nonparametric MLE of a mixing distribution," Statistics & Probability Letters, Elsevier, vol. 140(C), pages 142-146.
    • Handle: RePEc:eee:stapro:v:140:y:2018:i:c:p:142-146
    DOI: 10.1016/j.spl.2018.05.012
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    Cited by:

    1. Ryan Martin, 2021. "A Survey of Nonparametric Mixing Density Estimation via the Predictive Recursion Algorithm," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 97-121, May.

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