Active Set and EM Algorithms for Log-Concave Densities Based on Complete and Censored Data

Abstract

We develop an active set algorithm for the maximum likelihood estimation of a log-concave density based on complete data. Building on this fast algorithm, we indidate an EM algorithm to treat arbitrarily censored or binned data.

Changes in versions 3-4: Updated references, corrections of minor errors, shortened section on EM algorithm (which will be treated in more detail in a separate paper)

References in corpus (2)

• Maximum likelihood estimation of a log-concave density and its distribution function: Basic properties and uniform consistency
• Estimating a Polya frequency function_2

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