Bandwidth Selection in an EM-like algorithm for nonparametric multivariate mixtures

Tatiana Benaglia (1) , Didier Chauveau (2) , David R. Hunter (1)

1 Department of Statistics, Penn State University
2 MAPMO - Mathématiques - Analyse, Probabilités, Modélisation - Orléans

In this paper we describe a method to select the bandwidth used in the nonparametric EM (npEM) algorithm of Benaglia et. al. (2008). This method is a generalization of the Silverman's rule of thumb used to select a bandwidth in kernel density estimation, and it results in one bandwidth for each mixture component and each block of conditionally independent and identically distributed repeated measures.

Mots clés: EM algorithm; kernel density estimation; multivariate mixture; nonparametric mixture

Domaines: Statistiques [math.ST]; Théorie [stat.TH]; Méthodologie [stat.ME]

Tatiana Benaglia, Didier Chauveau, David R. Hunter. Bandwidth Selection in an EM-like algorithm for nonparametric multivariate mixtures. World Scientific Publishing Co. Nonparametric Statistics and Mixture Models: A Festschrift in Honor of Thomas P. Hettmansperger, World Scientific Publishing Co., pp.15-27, 2011. ⟨hal-00353297⟩