Estimating a Polya frequency function₂

DOI10.1214/074921707000000184MaRDI QIDQ6206438zbMATH OpenFDO

Authors Jayanta Kumar Pal, Michael Woodroofe, Mary C. Meyer

Publication date 8 August 2007

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Convex programming (90C25)

Abstract: We consider the non-parametric maximum likelihood estimation in the class of Polya frequency functions of order two, viz. the densities with a concave logarithm. This is a subclass of unimodal densities and fairly rich in general. The NPMLE is shown to be the solution to a convex programming problem in the Euclidean space and an algorithm is devised similar to the iterative convex minorant algorithm by Jongbleod (1999). The estimator achieves Hellinger consistency when the true density is a PFF_2 itself.

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