Nonparametric estimation of multivariate scale mixtures of uniform densities

DOI10.1016/J.JMVA.2012.01.001zbMATH Open1352.62049arXiv1005.1352OpenAlexW2049949770WikidataQ42558027 ScholiaQ42558027MaRDI QIDQ413749FDOQ413749

Authors: Marios G. Pavlides, Jon A. Wellner 

Publication date: 7 May 2012

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: Suppose that $mU=(U_1,ldots,U_d)$ has a Uniform$([0,1{]}^d)$ distribution, that $mY=(Y_1,ldots,Y_d)$ has the distribution $G$ on $R{R}_{+}^d$, and let $mX=(X_1,ldots,X_d)=(U_1{Y}_1,ldots,U_d{Y}_d)$. The resulting class of distributions of $mX$ (as $G$ varies over all distributions on $R{R}_{+}^d$) is called the {sl Scale Mixture of Uniforms} class of distributions, and the corresponding class of densities on $R{R}_{+}^d$ is denoted by ${calF}_{SMU}(d)$. We study maximum likelihood estimation in the family ${calF}_{SMU}(d)$. We prove existence of the MLE, establish Fenchel characterizations, and prove strong consistency of the almost surely unique maximum likelihood estimator (MLE) in ${calF}_{SMU}(d)$. We also provide an asymptotic minimax lower bound for estimating the functional $fmapstof(mx)$ under reasonable differentiability assumptions on $fin{calF}_{SMU}(d)$ in a neighborhood of $mx$. We conclude the paper with discussion, conjectures and open problems pertaining to global and local rates of convergence of the MLE.

Full work available at URL: https://arxiv.org/abs/1005.1352

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zbMATH Keywords

mixtureconsistencynonparametric estimationminimaxmultivariatemonotonicityuniform

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12)

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Cited In (15)

• A characterisation of scale mixtures of the uniform distribution
• Nonparametric estimation of component distributions in a multivariate mixture
• Uniform consistency in nonparametric mixture models
• A Likelihood-Tuned Density Estimator Via a Nonparametric Mixture Model
• A new representation method for probability distributions of multimodal and irregular data based on uniform mixture model
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