Permutation-based uncertainty quantification about a mixing distribution

Abstract: Nonparametric estimation of a mixing distribution based on data coming from a mixture model is a challenging problem. Beyond estimation, there is interest in uncertainty quantification, e.g., confidence intervals for features of the mixing distribution. This paper focuses on estimation via the predictive recursion algorithm, and here we take advantage of this estimator's seemingly undesirable dependence on the data ordering to obtain a permutation-based approximation of the sampling distribution which can be used to quantify uncertainty. Theoretical and numerical results confirm that the proposed method leads to valid confidence intervals, at least approximately.