Density Estimation in Several Populations With Uncertain Population Membership.

We devise methods to estimate probability density functions of several populations using observations with uncertain population membership, meaning from which population an observation comes is unknown. The probability of an observation being sampled from any given population can be calculated. We develop general estimation procedures and bandwidth selection methods for our setting. We establish large-sample properties and study finite-sample performance using simulation studies. We illustrate our methods with data from a nutrition study.