Bayesian estimation of a decreasing density

Research output: Contribution to journalArticleScientificpeer-review

Abstract

Suppose X1, …, Xn is a random sample from a bounded and decreasing density f0 on [0, ∞). We are interested in estimating such f0, with special interest in f0 (0). This problem is encountered in various statistical applications and has gained quite some attention in the statistical literature. It is well known that the maximum likelihood estimator is inconsistent at zero. This has led several authors to propose alternative estimators which are consistent. As any decreasing density can be represented as a scale mixture of uniform densities, a Bayesian estimator is obtained by endowing the mixture distribution with the Dirichlet process prior. Assuming this prior, we derive contraction rates of the posterior density at zero by carefully revising arguments presented in Salomond (Electronic Journal of Statistics 8 (2014) 1380– 1404). Several choices of base measure are numerically evaluated and compared. In a simulation various frequentist methods and a Bayesian estimator are compared. Finally, the Bayesian procedure is applied to current durations data described in Slama et al. (Human Reproduction 27 (2012) 1489–1498).

Original languageEnglish
Pages (from-to)392-420
Number of pages29
JournalBrazilian Journal of Probability and Statistics
Volume35
Issue number2
DOIs
Publication statusPublished - 2021

Keywords

  • Bayesian nonparametrics
  • Contraction rate
  • Posterior consistency

Fingerprint

Dive into the research topics of 'Bayesian estimation of a decreasing density'. Together they form a unique fingerprint.

Cite this