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Maximum likelihood estimation for totally positive log-concave densities
Scandinavian Journal of Statistics ( IF 1 ) Pub Date : 2020-04-27 , DOI: 10.1111/sjos.12462
Elina Robeva 1, 2 , Bernd Sturmfels 3, 4 , Ngoc Tran 5 , Caroline Uhler 1
Affiliation  

We study nonparametric maximum likelihood estimation for two classes of multivariate distributions that imply strong forms of positive dependence; namely log-supermodular (MTP2) distributions and log-L-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 from one of our distributions, the maximum likelihood estimator (MLE) exists a.s. and is unique a.e. with probability one when n≥3. 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 2 under MTP2, and for samples in d under LLC. Finally, we provide a conditional gradient algorithm for computing the maximum likelihood estimate.

中文翻译:

完全正对数凹面密度的最大似然估计

我们研究了两类多元分布的非参数最大似然估计,这些分布意味着强的正相关形式;即对数超模 ( MTP 2 ) 分布和对数- L -( LLC ) 分布。在这两种情况下,我们还假设对数凹度以确保似然函数的有界性。给定来自我们的分布之一的n 个独立且同分布的随机向量,当n ≥ 3时,最大似然估计量 (MLE) 以概率 1 的形式存在并且是唯一的 ae 。这与环境维度d无关. 我们推测 MLE 始终是帐篷函数的指数。我们在 {0,1} d 2 在 MTP 2 下,对于样品 d 在有限责任公司下。最后,我们提供了一种用于计算最大似然估计的条件梯度算法。
更新日期:2020-04-27
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