Convergence of D\"umbgen's Algorithm for Estimation of Tail Inflation

MaRDI QIDQ6320312zbMATH OpenFDO

Authors Jasha Sommer-Simpson

Publication date 8 June 2019

Abstract: Given a density $f$ on the non-negative real line, D"umbgen's algorithm is a routine for finding the (unique) log-convex, non-decreasing function $hatphi$ such that $inthatphi(x)f(x)dx=1$ and such that the likelihood $pro{d}_{i=1}^{n}f(x_i)hatphi(x_i)$ of given data $x_1,ldots,x_n$ under density $xmapstohatphi(x)f(x)$ is maximized. We summarize D"umbgen's algorithm for finding this MLE $hatphi$, and we present a novel guarantee of the algorithm's termination and convergence.

This page was built for publication: Convergence of D\"umbgen's Algorithm for Estimation of Tail Inflation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6320312)