Bi-log-concave distribution functions

DOI10.1016/J.JSPI.2016.10.005zbMATH Open1356.62062arXiv1508.07825OpenAlexW1788784929MaRDI QIDQ511666FDOQ511666

Ralf A. Wilke, Petro Kolesnyk, Lutz Dümbgen

Publication date: 22 February 2017

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: Nonparametric statistics for distribution functions F or densities f=F' under qualitative shape constraints provides an interesting alternative to classical parametric or entirely nonparametric approaches. We contribute to this area by considering a new shape constraint: F is said to be bi-log-concave, if both log(F) and log(1 - F) are concave. Many commonly considered distributions are compatible with this constraint. For instance, any c.d.f. F with log-concave density f = F' is bi-log-concave. But in contrast to the latter constraint, bi-log-concavity allows for multimodal densities. We provide various characterizations. It is shown that combining any nonparametric confidence band for F with the new shape-constraint leads to substantial improvements, particularly in the tails. To pinpoint this, we show that these confidence bands imply non-trivial confidence bounds for arbitrary moments and the moment generating function of F.

Full work available at URL: https://arxiv.org/abs/1508.07825

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zbMATH Keywords

momentsmoment generating functionshape constrainthazardhonest confidence regionreverse hazard

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric tolerance and confidence regions (62G15) Order statistics; empirical distribution functions (62G30)

Cites Work

• Multivariate log-concave distributions as a nearly parametric model
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Cited In (6)

• Bi-log-concavity: some properties and some remarks towards a multi-dimensional extension
• Tail asymptotic behavior of the supremum of a class of chi-square processes
• Bi-\( s^\ast \)-concave distributions
• Adaptive estimation in symmetric location model under log-concavity constraint
• Completely monotone distributions: mixing, approximation and estimation of number of species
• Some new stochastic orders based on quantile function

Uses Software

• logcondens

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