A Kiefer-Wolfowitz MLE for Gamma mixture models
Gammamix(x, v = 300, shape = 1, weights = NULL, ...)vector of observed variances
A vector of bin boundaries, if scalar then v equally spaced bins are constructed
vector of shape parameters corresponding to x
replicate weights for x obervations, should sum to 1
optional parameters passed to KWDual to control optimization
An object of class density with components:
midpoints of the bin boundaries
estimated function values of the mixing density
function values of the mixture density at the observed x's.
the value of the log likelihood at the solution
Bayes rule estimates of
the Mosek convergence status.
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.
Gammamix for a general implementation for Gamma mixtures