On Fast Computation of the Non-Parametric Maximum Likelihood Estimate of a Mixing Distribution
混合分布非参数最大似然估计的快速计算
Summary A fast algorithm for computing the non-parametric maximum likelihood estimate of a mixing distribution is presented. At each iteration, the algorithm adds new important points to the support set as guided by the gradient function, updates all mixing proportions via a quadratically convergent method and discards redundant support points straightaway. With its convergence being theoretically established, numerical studies show that it is very fast and stable, compared…