This paper investigates the statistical estimation of a discrete mixing measure µ0 involved in a kernel mixture model. Using some recent advances in `1-regularization over the space of measures, we introduce a “data fitting and regularization” convex program for estimating µ0 in a grid-less manner from a sample of mixture law, this method is referred to as Beurling-LASSO. Our contribution is two-fold: we derive a lower bound on the bandwidth of our data fitting term depending only on the support of µ0 and its so-called “minimum separation” to ensure quantitative support localization error bounds; and under a so-called “nondegenerate source condition” we derive a non-asymptotic support stability property. This latter shows that for a sufficiently large sample size n, our estimator has exactly as many weighted Dirac masses as the target µ, converging in amplitude and localization towards the true ones. Finally, we also introduce some tractable algorithms for solving this convex program based on “Sliding Frank-Wolfe” or “Conic Particle Gradient Descent”. Statistical performances of this estimator are investigated designing a so-called “dual certificate”, which is appropriate to our setting. Some classical situations, as e.g. mixtures of super-smooth distributions (e.g. Gaussian distributions) or ordinary-smooth distributions (e.g. Laplace distributions), are discussed at the end of the paper.
Y. De Castro, Sébastien Gadat, Clément Marteau, and Cathy Maugis, “SuperMix: Sparse Regularization for Mixture”, TSE Working Paper, n. 19-1040, September 2019, revised September 2020.
Y. De Castro, Sébastien Gadat, Clément Marteau, and Cathy Maugis, “SuperMix: Sparse Regularization for Mixture”, Annals of Statistics, vol. 49, n. 3, 2021, pp. 1779–1809.
Annals of Statistics, vol. 49, n. 3, 2021, pp. 1779–1809