Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/189754 
Year of Publication: 
2017
Series/Report no.: 
cemmap working paper No. CWP37/17
Publisher: 
Centre for Microdata Methods and Practice (cemmap), London
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 pro le likelihood. We also describe some nonparametric maximum likelihood methods for shape and norm constrained density estimation that employ related computational methods.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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