Estimation of a likelihood ratio ordered family of distributions

Consider bivariate observations ( X 1 , Y 1 ) , … , ( X n , Y n ) ∈ R × 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 a...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Statistics and computing 2024-02, Vol.34 (1), Article 58
Hauptverfasser: Mösching, Alexandre, Dümbgen, Lutz
Format: Artikel
Sprache:eng
Schlagworte:
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:Consider bivariate observations ( X 1 , Y 1 ) , … , ( X n , Y n ) ∈ R × 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 L ( X , Y ) under the sole assumption that it is totally positive of order two. 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.
ISSN:0960-3174
1573-1375
DOI:10.1007/s11222-023-10370-9