GVmix: NPMLE for Gaussian Variance Heterogeneity

In REBayes: Empirical Bayes Estimation and Inference

NPMLE for Gaussian Variance Heterogeneity

Description

A Kiefer-Wolfowitz MLE for Gaussian models with independent variances. This can be viewed as a general form for \chi^2 mixtures, see Gammamix for a more general form for Gamma mixtures.

Usage

GVmix(x, m, v = 300, weights = NULL, ...)

Arguments

x	vector of observed variances
m	vector of sample sizes corresponding to x
v	A vector of bin boundaries, if scalar then v equally spaced bins are constructed
weights	replicate weights for x obervations, should sum to 1
...	optional parameters passed to KWDual to control optimization

Value

An object of class density with components:

x	midpoints of the bin boundaries
y	estimated function values of the mixing density
g	function values of the mixture density at the observed x's.
logLik	the value of the log likelihood at the solution
dy	Bayes rule estimates of
status	the Mosek convergence status.

Author(s)

R. Koenker

References

Koenker, R and I. Mizera, (2013) “Convex Optimization, Shape Constraints, Compound Decisions, and Empirical Bayes Rules,” JASA, 109, 674–685.

Gu J. and R. Koenker (2014) Unobserved heterogeneity in income dynamics: an empirical Bayes perspective, JBES, 35, 1-16.

Koenker, R. and J. Gu, (2017) REBayes: An R Package for Empirical Bayes Mixture Methods, Journal of Statistical Software, 82, 1–26.

See Also

Gammamix for a general implementation for Gamma mixtures

REBayes documentation built on Aug. 19, 2023, 5:10 p.m.