Estimation of exponential-polynomial distribution by holonomic gradient descent

DOI10.1080/03610926.2014.968735MaRDI QIDQ2834639zbMATH OpenOpenAlexFDO

Authors Jumpei Hayakawa, Akimichi Takemura

Publication date 23 November 2016

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1403.7852

zbMATH Keywords

algebraic statisticsbivariate distributionscore test

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

Abstract: We study holonomic gradient decent for maximum likelihood estimation of exponential-polynomial distribution, whose density is the exponential function of a polynomial in the random variable. We first consider the case that the support of the distribution is the set of positive reals. We show that the maximum likelihood estimate (MLE) can be easily computed by the holonomic gradient descent, even though the normalizing constant of this family does not have a closed-form expression and discuss determination of the degree of the polynomial based on the score test statistic. Then we present extensions to the whole real line and to the bivariate distribution on the positive orthant.

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Cites work

• A holonomic systems approach to special functions identities
• A Maximum Likelihood Approach to Density Estimation with Semidefinite Programming
• Discriminants, resultants, and multidimensional determinants
• Gröbner Bases
• Holonomic gradient descent and its application to the Fisher-Bingham integral
• Incomplete A-hypergeometric systems
• Likelihood ratio tests for positivity in polynomial regressions
• Properties and applications of Fisher distribution on the rotation group
• The holonomic gradient method for the distribution function of the largest root of a Wishart matrix

Cited in

(7)

• Characterizations of non-normalized discrete probability distributions and their application in statistics
• Holonomic extended least angle regression
• Holonomic gradient descent for the Fisher-Bingham distribution on the d-dimensional sphere
• Holonomic gradient method for two-way contingency tables
• On the fractional moments of a truncated centered multivariate normal distribution
• Minimum L^q‐distance estimators for non‐normalized parametric models
• Stein's method of moments

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