Wavelet‐based estimators for mixture regression

We consider a process that is observed as a mixture of two random distributions, where the mixing probability is an unknown function of time. The setup is built upon a wavelet‐based mixture regression. Two linear wavelet estimators are proposed. Furthermore, we consider three regularizing procedures...

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Bibliographic Details
Published in:Scandinavian journal of statistics 2019-03, Vol.46 (1), p.215-234
Main Authors: Montoril, Michel H., Pinheiro, Aluísio, Vidakovic, Brani
Format: Article
Language:English
Subjects:
change point
classification
Computer simulation
Economic models
Estimators
mixture problem
Monte Carlo simulation
nonparametric regression
Nonparametric statistics
Statistical analysis
Wavelet analysis
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Summary:We consider a process that is observed as a mixture of two random distributions, where the mixing probability is an unknown function of time. The setup is built upon a wavelet‐based mixture regression. Two linear wavelet estimators are proposed. Furthermore, we consider three regularizing procedures for each of the two wavelet methods. We also discuss regularity conditions under which the consistency of the wavelet methods is attained and derive rates of convergence for the proposed estimators. A Monte Carlo simulation study is conducted to illustrate the performance of the estimators. Various scenarios for the mixing probability function are used in the simulations, in addition to a range of sample sizes and resolution levels. We apply the proposed methods to a data set consisting of array Comparative Genomic Hybridization from glioblastoma cancer studies.
ISSN:0303-6898
1467-9469
DOI:10.1111/sjos.12344