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| Main Authors: | , |
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| Format: | Preprint |
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2020
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| Online Access: | https://arxiv.org/abs/2007.11521 |
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| _version_ | 1866912209502732288 |
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| author | Mösching, Alexandre Duembgen, Lutz |
| author_facet | Mösching, Alexandre Duembgen, Lutz |
| contents | Consider bivariate observations $(X_1,Y_1), \ldots, (X_n,Y_n) \in \mathbb{R}\times \mathbb{R}$ with unknown conditional distributions $Q_x$ of $Y$, given that $X = x$. The goal is to estimate these distributions under the sole assumption that $Q_x$ 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 $\mathcal{L}(X,Y)$ under the sole assumption that it is totally positive of order two in a certain sense. An algorithm is developed which estimates the unknown family of distributions $(Q_x)_x$ 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2007_11521 |
| institution | arXiv |
| publishDate | 2020 |
| record_format | arxiv |
| spellingShingle | Estimation of a Likelihood Ratio Ordered Family of Distributions Mösching, Alexandre Duembgen, Lutz Statistics Theory Computation Methodology 62G05, 62G08, 62H12 Consider bivariate observations $(X_1,Y_1), \ldots, (X_n,Y_n) \in \mathbb{R}\times \mathbb{R}$ with unknown conditional distributions $Q_x$ of $Y$, given that $X = x$. The goal is to estimate these distributions under the sole assumption that $Q_x$ 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 $\mathcal{L}(X,Y)$ under the sole assumption that it is totally positive of order two in a certain sense. An algorithm is developed which estimates the unknown family of distributions $(Q_x)_x$ 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. |
| title | Estimation of a Likelihood Ratio Ordered Family of Distributions |
| topic | Statistics Theory Computation Methodology 62G05, 62G08, 62H12 |
| url | https://arxiv.org/abs/2007.11521 |