Convex optimization, shape constraints, compound decisions, and empirical bayes rules

Roger Koenker, Ivan Mizera

Research output: Contribution to journalArticlepeer-review

Abstract

Estimation of mixture densities for the classical Gaussian compound decision problem and their associated (empirical) Bayes rules is considered from two new perspectives. The first, motivated by Brown and Greenshtein, introduces a nonparametric maximum likelihood estimator of the mixture density subject to a monotonicity constraint on the resulting Bayes rule. The second, motivated by Jiang and Zhang, proposes a new approach to computing the Kiefer-Wolfowitz nonparametric maximum likelihood estimator for mixtures. In contrast to prior methods for these problems, our new approaches are cast as convex optimization problems that can be efficiently solved by modern interior point methods. In particular, we show that the reformulation of the Kiefer-Wolfowitz estimator as a convex optimization problem reduces the computational effort by several orders of magnitude for typical problems, by comparison to prior EM-algorithm based methods, and thus greatly expands the practical applicability of the resulting methods. Our new procedures are compared with several existing empirical Bayes methods in simulations employing the well-established design of Johnstone and Silverman. Some further comparisons are made based on prediction of baseball batting averages. A Bernoulli mixture application is briefly considered in the penultimate section.

Original languageEnglish (US)
Pages (from-to)674-685
Number of pages12
JournalJournal of the American Statistical Association
Volume109
Issue number506
DOIs
StatePublished - 2014

Keywords

  • Empirical Bayes
  • Kiefer-Wolfowitz maximum likelihood estimator
  • Mixture models

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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