A smoothed semiparametric likelihood for estimation of nonparametric finite mixture models with a copula-based dependence structure
Résumé
In this manuscript, we consider a finite multivariate nonparametric mixture
model where the dependence between the marginal densities is modeled using
the copula device. Pseudo EM (Expectation-Maximization) stochastic algorithms
were recently proposed to estimate all of the components of this model under
a location-scale constraint on the marginals. Here, we introduce a determin-
istic algorithm that seeks to maximize a smoothed semiparametric likelihood.
No location-scale assumption is made about the marginals. The algorithm
is monotonic in one special case, and, in another, leads to “approximate
monotonicity”—whereby the difference between successive values of the objective
function becomes non-negative up to an additive term that becomes negligible
after a sufficiently large number of iterations. The behavior of this algorithm is
illustrated on several simulated and real datasets. The results suggest that, under
suitable conditions, the proposed algorithm may indeed be monotonic in general.
A discussion of the results and some possible future research directions round out
our presentation.
Domaines
Statistiques [math.ST]Origine | Fichiers produits par l'(les) auteur(s) |
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