Inference for the mode of a log-concave density
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Abstract: We study a likelihood ratio test for the location of the mode of a log-concave density. Our test is based on comparison of the log-likelihoods corresponding to the unconstrained maximum likelihood estimator of a log-concave density and the constrained maximum likelihood estimator where the constraint is that the mode of the density is fixed, say at . The constrained estimation problem is studied in detail in Doss and Wellner [2018]. Here the results of that paper are used to show that, under the null hypothesis (and strict curvature of at the mode), the likelihood ratio statistic is asymptotically pivotal: that is, it converges in distribution to a limiting distribution which is free of nuisance parameters, thus playing the role of the distribution in classical parametric statistical problems. By inverting this family of tests we obtain new (likelihood ratio based) confidence intervals for the mode of a log-concave density . These new intervals do not depend on any smoothing parameters. We study the new confidence intervals via Monte Carlo methods and illustrate them with two real data sets. The new intervals seem to have several advantages over existing procedures. Software implementing the test and confidence intervals is available in the R package verb+logcondens.mode+.
The authors propose a test for the location of the mode. For the model of a general log-concave density, they use the likelihood-ratio test of the unconstrained maximum-likelihood estimator and the estimator constrained to the hypothesis on the mode. Under the assumption that the second derivative of the logarithm of the density exists at the mode, they show that the asymptotic distribution of the likelihood-ratio is universal and thus universal quantiles can be used for this test statistic. The test is also consistent under the alternative. These results are based on the ocal limit theorem for the density estimator considered as a process in a neighborhood around the mode. In a simulation study it turns out that the distribution of the test statistic is not close to a chi-squared distribution, and empirical quantiles are given for the test statistic. Finally, the daily log returns of the S\&P 500 are discussed as a data example.
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Cited in
(19)- Computing confidence intervals for log-concave densities
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- Concave regression: value-constrained estimation and likelihood ratio-based inference
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- The two-sample location shift model under log-concavity
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