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Theoretical and Computational Aspects of Mixture Models, with Applications to Empirical Bayes Methods
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- Author / Creator
- Tao, Sile
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This thesis studies mixture models, in particular the estimation of mixing
distributions and their applications to empirical Bayes prediction. The objectives
are two-fold: to study the large-sample property of empirical Bayes
estimators; to develop algorithms for the nonparametric estimation of mixing
distributions as well as methods inspired by the Kiefer-Wolfowitz nonparametric
maximum likelihood estimator.
Asymptotic optimality of empirical Bayes estimators is a topic that has
been in past studied by various authors, starting from Robbins (1956), and
continued by Deely and Zimmer (1976), Robbins (1964), and Rutherford and
Krutchkoff (1969). They all worked in somewhat different settings, focusing
not only on mixture models but the general empirical Bayes methodology.
Moreover, these authors considered exclusively the squared loss in predictions.
In this thesis, we establish asymptotic optimality for the empirical Bayes estimators;
the results apply not only for the squared loss, but for a large class
of convex loss functions. A consistency result of Bayes estimators for mixture
models for a large class of convex loss functions is provided under mild
conditions. Nowadays, decision problems involving alternative loss functions
other than the squared loss are becoming increasingly popular. For instance,
Mukherjee, Brown, and Rusmevichientong (2015) have recently applied a parametric
empirical Bayes method to the so-called newsvendor problem involving
a piecewise linear loss function. The last chapter of this thesis compares their
methodology with one that is based on mixture models, and discusses the
potential of the latter in this field.
The second part of the thesis is devoted to the estimation of mixing distribution
in mixture models. Based on the breakthrough of Koenker and Mizera
(2014), see also Dicker and Zhao (2014), Abadie and Kasy (2017), we propose
four estimation methods/algorithms. Cutting-Plane Method, which for
technical reasons comes last, is in fact an alternative algorithm for the Kiefer-
Wolfowitz nonparametric maximum likelihood estimator studied by Koenker
and Mizera. However, unlike their algorithm, the Cutting-Plane Method is
also applicable in higher-dimensional parameter spaces. The same is true
for the remaining three proposed methods. Projected Stochastic Gradient
is capable of working in even higher dimensions but its convergence may be
slow. Stochastic Average Approximation is generally much faster but in some
versions, its estimation target differs from that of Kiefer-Wolfowitz nonparametric
maximum likelihood estimator. This is even more true for Constraint
Resampling, which is in fact an autonomous and novel estimation method;
its properties, as well as those of other proposed methods are assessed via
simulations and theoretical results. The penultimate chapter is devoted to
facilitate the multivariate data-analytical applications of the developed algorithms.
Nonparametric empirical Bayes methods are studied in the presence
of explanatory variables. A nonparametric empirical Bayes regression model
is later proposed. In contrast to some of the previous approaches, such a
regression model has a very simple form and inherits most of theoretical properties
of nonparametric empirical Bayes procedures. Unlike methods based on
the partial linear model, the parameter estimation procedure is equivalent to
solving a convex optimization problem in function space and can be efficiently
solved by the proposed algorithms. -
- Subjects / Keywords
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- Graduation date
- Fall 2018
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- Type of Item
- Thesis
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- Degree
- Doctor of Philosophy
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- License
- Permission is hereby granted to the University of Alberta Libraries to reproduce single copies of this thesis and to lend or sell such copies for private, scholarly or scientific research purposes only. Where the thesis is converted to, or otherwise made available in digital form, the University of Alberta will advise potential users of the thesis of these terms. The author reserves all other publication and other rights in association with the copyright in the thesis and, except as herein before provided, neither the thesis nor any substantial portion thereof may be printed or otherwise reproduced in any material form whatsoever without the author's prior written permission.