Consistency of a recursive estimate of mixing distributions

Mixture models have received considerable attention recently and Newton [Sankhy\={a} Ser. A 64 (2002) 306--322] proposed a fast recursive algorithm for estimating a mixing distribution. We prove almost sure consistency of this recursive estimate in the weak topology under mild conditions on the family of densities being mixed. This recursive estimate depends on the data ordering and a permutation-invariant modification is proposed, which is an average of the original over permutations of the data sequence. A Rao--Blackwell argument is used to prove consistency in probability of this alternative estimate. Several simulations are presented, comparing the finite-sample performance of the recursive estimate and a Monte Carlo approximation to the permutation-invariant alternative along with that of the nonparametric maximum likelihood estimate and a nonparametric Bayes estimate.Comment: Published in at http://dx.doi.org/10.1214/08-AOS639 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

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

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.Comment: 22 pages, 5 figures. Comments welcome at https://www.researchers.one/article/2018-12-

Model-based clustering using non-parametric Hidden Markov Models

Thanks to their dependency structure, non-parametric Hidden Markov Models (HMMs) are able to handle model-based clustering without specifying group distributions. The aim of this work is to study the Bayes risk of clustering when using HMMs and to propose associated clustering procedures. We first give a result linking the Bayes risk of classification and the Bayes risk of clustering, which we use to identify the key quantity determining the difficulty of the clustering task. We also give a proof of this result in the i.i.d. framework, which might be of independent interest. Then we study the excess risk of the plugin classifier. All these results are shown to remain valid in the online setting where observations are clustered sequentially. Simulations illustrate our findings

Mixed LICORS: A Nonparametric Algorithm for Predictive State Reconstruction

We introduce 'mixed LICORS', an algorithm for learning nonlinear, high-dimensional dynamics from spatio-temporal data, suitable for both prediction and simulation. Mixed LICORS extends the recent LICORS algorithm (Goerg and Shalizi, 2012) from hard clustering of predictive distributions to a non-parametric, EM-like soft clustering. This retains the asymptotic predictive optimality of LICORS, but, as we show in simulations, greatly improves out-of-sample forecasts with limited data. The new method is implemented in the publicly-available R package "LICORS" (http://cran.r-project.org/web/packages/LICORS/).Comment: 11 pages; AISTATS 201

Modeling heterogeneity in random graphs through latent space models: a selective review

We present a selective review on probabilistic modeling of heterogeneity in random graphs. We focus on latent space models and more particularly on stochastic block models and their extensions that have undergone major developments in the last five years