Statistical Modelling 12 (2012), 67–92

Density estimation using non-parametric and semi-parametric mixtures

Yong Wang
Department of Statistics,
The University of Auckland
Private Bag 92019
Auckland 1142
New Zealand
eMail: yongwang@stat.auckland.ac.nz

Chew-Seng Chee
Department of Mathematics,
Faculty of Science and Technology,
Universiti Malaysia Terengganu
21030 Kuala Terengganu, Terengganu
Malaysia

Abstract:

This article presents a general framework for univariate non-parametric density estimation, based on mixture models. Similar to kernel-based estimation, the proposed approach uses bandwidth to control the density smoothness, but each density estimate for a fixed bandwidth is determined by non-parametric likelihood maximization, with bandwidth selection carried out as model selection. This leads to simple models, yet with higher accuracy, especially in terms of the Kullback–Leibler or the Hellinger risk. The particular problem of estimating a symmetric density function is investigated. Both simulation study and real-world data examples suggest that the mixture-based estimators outperform their kernel-based counterparts.

Keywords:

density estimation; symmetric distribution; non-parametric mixture; semi-parametric mixture; kernel-based estimation; bandwidth selection

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R-code and example data in zipped archive
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