Estimation of a likelihood ratio ordered family of distributions

被引:0
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作者
Alexandre Mösching
Lutz Dümbgen
机构
[1] University of Bern,Department of Mathematics and Statistics
[2] F. Hoffmann-La Roche Ltd,Nonclinical Biostatistics
来源
Statistics and Computing | 2024年 / 34卷
关键词
Empirical likelihood; Likelihood ratio order; Order constraint; Quasi–Newton method; Stochastic order; Total positivity; 62G05; 62G08; 62H12;
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摘要
Consider bivariate observations (X1,Y1),…,(Xn,Yn)∈R×R\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$(X_1,Y_1), \ldots , (X_n,Y_n) \in {\mathbb {R}}\times {\mathbb {R}}$$\end{document} with unknown conditional distributions Qx\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$Q_x$$\end{document} of Y, given that X=x\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$X = x$$\end{document}. The goal is to estimate these distributions under the sole assumption that Qx\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$Q_x$$\end{document} is isotonic in x with respect to likelihood ratio order. If the observations are identically distributed, a related goal is to estimate the joint distribution L(X,Y)\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$\mathcal {L}(X,Y)$$\end{document} under the sole assumption that it is totally positive of order two. An algorithm is developed which estimates the unknown family of distributions (Qx)x\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$(Q_x)_x$$\end{document} via empirical likelihood. The benefit of the stronger regularization imposed by likelihood ratio order over the usual stochastic order is evaluated in terms of estimation and predictive performances on simulated as well as real data.
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