Asymptotics of the discrete log-concave maximum likelihood estimator and related applications
arXiv:1107.3904 · doi:10.1111/rssb.12011
Abstract
The assumption of log-concavity is a flexible and appealing nonparametric shape constraint in distribution modelling. In this work, we study the log-concave maximum likelihood estimator (MLE) of a probability mass function (pmf). We show that the MLE is strongly consistent and derive its pointwise asymptotic theory under both the well- and misspecified setting. Our asymptotic results are used to calculate confidence intervals for the true log-concave pmf. Both the MLE and the associated confidence intervals may be easily computed using the R package logcondiscr. We illustrate our theoretical results using recent data from the H1N1 pandemic in Ontario, Canada.
21 pages, 7 Figures
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- Entropy-variance inequalities for discrete log-concave random variables via degree of freedom
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