Inference and modeling with log-concave distributions

DOI10.1214/09-STS303zbMATH Open1329.62192arXiv1010.0305MaRDI QIDQ907958FDOQ907958

Authors: Guenther Walther 

Publication date: 2 February 2016

Published in: Statistical Science (Search for Journal in Brave)

Abstract: Log-concave distributions are an attractive choice for modeling and inference, for several reasons: The class of log-concave distributions contains most of the commonly used parametric distributions and thus is a rich and flexible nonparametric class of distributions. Further, the MLE exists and can be computed with readily available algorithms. Thus, no tuning parameter, such as a bandwidth, is necessary for estimation. Due to these attractive properties, there has been considerable recent research activity concerning the theory and applications of log-concave distributions. This article gives a review of these results.

Full work available at URL: https://arxiv.org/abs/1010.0305

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zbMATH Keywords

active set algorithmiterative convex minorant algorithmnonparametric density estimationshape constraintstrongly unimodallog-concave densityPolya frequency function

Mathematics Subject Classification ID

Density estimation (62G07)

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Cited In (48)

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Uses Software

• SolvOpt
• LogConcDEAD
• logcondens

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