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.
GVmix(x, m, v = 300, weights = NULL, ...)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.
vector of observed variances
vector of sample sizes corresponding to x
A vector of bin boundaries, if scalar then v equally spaced bins are constructed
replicate weights for x obervations, should sum to 1
optional parameters passed to KWDual to control optimization
R. Koenker
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.
Gammamix for a general implementation for Gamma mixtures