Inference for the mode of a log-concave density

DOI10.1214/18-AOS1770zbMATH Open1439.62098arXiv1611.10348MaRDI QIDQ2328065FDOQ2328065

Authors: Charles R. Doss, Jon A. Wellner 

Publication date: 9 October 2019

Published in: The Annals of Statistics (Search for Journal in Brave)

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 $m$. 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 $-logf$ 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 $ch{i}_1^2$ 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 $f$. 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+.

Full work available at URL: https://arxiv.org/abs/1611.10348

Recommendations

• Univariate log-concave density estimation with symmetry or modal constraints
• Limit distribution theory for maximum likelihood estimation of a log-concave density
• Computing confidence intervals for log-concave densities
• Computing maximum likelihood estimators of a log-concave density function
• Maximum Likelihood Estimation of a Multi-Dimensional Log-Concave Density

zbMATH Keywords

confidence intervalsmodelikelihood ratio testlocal limit theoremlog concave density

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20) Nonparametric tolerance and confidence regions (62G15) Central limit and other weak theorems (60F05)

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Cited In (16)

• Infinite density at the median and the typical shape of stock return distributions
• Inference for the mode of a log-concave density
• Nonparametric shape-restricted regression
• Limit distribution theory for block estimators in multiple isotonic regression
• Likelihood asymptotics in nonregular settings: a review with emphasis on the likelihood ratio
• A Bayesian nonparametric approach to log-concave density estimation
• Recent progress in log-concave density estimation
• Univariate log-concave density estimation with symmetry or modal constraints
• Estimation of the global mode of a density: minimaxity, adaptation, and computational complexity
• logcondens.mode
• Confidence intervals for multiple isotonic regression and other monotone models
• Concave regression: value-constrained estimation and likelihood ratio-based inference
• Assessing log-concavity of multivariate densities
• Inference for Local Parameters in Convexity Constrained Models
• Computing confidence intervals for log-concave densities
• Inference for the mode of the log-logistic hazard function

Uses Software

• R
• LogConcDEAD
• simest
• scar
• pyuvdata

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