Maximum likelihood estimation for totally positive log-concave densities

DOI10.1111/SJOS.12462MaRDI QIDQ5152170zbMATH OpenOpenAlexFDO

Authors Elina Robeva, Bernd Sturmfels, Caroline Uhler, Ngoc Mai Tran

Publication date 17 September 2021

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1806.10120

zbMATH Keywords

nonparametric density estimationlog-concavitytotal positivitysupermodularityshape-constrained density estimation

Mathematics Subject Classification ID

Density estimation (62G07) Characterization and structure theory of statistical distributions (62E10)

Abstract: We study nonparametric maximum likelihood estimation for two classes of multivariate distributions that imply strong forms of positive dependence; namely log-supermodular (MTP${}_2$) distributions and log-$$-concave (LLC) distributions. In both cases we also assume log-concavity in order to ensure boundedness of the likelihood function. Given $n$ independent and identically distributed random vectors in $mathbb{R}^d$ from one of our distributions, the maximum likelihood estimator (MLE) exists a.s. and is unique a.e. with probability one when $ngeq3$. This holds independently of the ambient dimension $d$. We conjecture that the MLE is always the exponential of a tent function. We prove this result for samples in ${0,1}^d$ or in $mathbb{R}^2$ under MTP${}_2$, and for samples in $mathbb{Q}^d$ under LLC. Finally, we provide a conditional gradient algorithm for computing the maximum likelihood estimate.

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Cited in

(10)

• Smoothed log-concave maximum likelihood estimation with applications
• Maximum likelihood estimation via duality for cell probabilities subject to convex and log-convex constraints
• Total positivity in multivariate extremes
• Dependence in elliptical partial correlation graphs
• Maximum likelihood estimation of the mixture of log-concave densities
• A new technique for calculating fourier integrals based on the poisson summation formula
• Universal inference
• Maximum-likelihood estimation of a log-concave density based on censored data
• Convolutions of totally positive distributions with applications to kernel density estimation
• Optimal rates for estimation of two-dimensional totally positive distributions

Describes a project that uses

Uses Software

• LogConcDEAD

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