Published by the Foundation for Open Access Statistics
Editors-in-chief: Bettina Grün, Torsten Hothorn, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
REBayes: An R Package for Empirical Bayes Mixture Methods | Koenker | Journal of Statistical Software
Authors: Roger Koenker, Jiaying Gu
Title: REBayes: An R Package for Empirical Bayes Mixture Methods
Abstract: Models of unobserved heterogeneity, or frailty as it is commonly known in survival analysis, can often be formulated as semiparametric mixture models and estimated by maximum likelihood as proposed by Robbins (1950) and elaborated by Kiefer and Wolfowitz (1956). Recent developments in convex optimization, as noted by Koenker and Mizera (2014b), have led to dramatic improvements in computational methods for such models. In this vignette we describe an implementation contained in the R package REBayes with applications to a wide variety of mixture settings: Gaussian location and scale, Poisson and binomial mixtures for discrete data, Weibull and Gompertz models for survival data, and several Gaussian models intended for longitudinal data. While the dimension of the nonparametric heterogeneity of these models is inherently limited by our present gridding strategy, we describe how additional fixed parameters can be relatively easily accommodated via profile likelihood. We also describe some nonparametric maximum likelihood methods for shape and norm constrained density estimation that employ related computational methods.

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Paper: REBayes: An R Package for Empirical Bayes Mixture Methods     Download PDF (Downloads: 252)
Supplements:
REBayes_1.1.tar.gz: R source package Download (Downloads: 16; 1MB)
v82i08.R: R replication code Download (Downloads: 21; 6KB)

DOI: 10.18637/jss.v082.i08

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.