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Estimating nonsmooth k-modal densities and their inflection points

Futschik, A. and Clarke, B.R. (1999) Estimating nonsmooth k-modal densities and their inflection points. In: 52th Session of the International Statistical Institute, 11 - 18 August, Helsinki, Finland



In literature several estimates have been proposed for unimodal densities. They are typically derived from the Grenander estimate (see Grenander (1956)) for decreasing densities which can be easily extended to the case of unimodal densities with a known mode at θ. The resulting estimator is the nonparametric maximum likelihood estimator (NPMLE). If the mode is unknown, the NPMLE does not exist anymore. One possible solution that has been proposed by Wegman (1969, 1970a,b) is to add the additional constraint of a modal interval of length ε, where ε has to be chosen by the statistician. More recently Bickel and Fan (1996) and Birge (1997) proposed methods that are based on an initial mode estimate θ and an application of the NPMLE with mode θ. The initial mode estimate requires the calculation of the MLE of ∫ for O(n) candidate points for the mode, where n denotes the sample size. They showed their methods to provide good estimates both for nonsmooth densities and for the mode of nonsmooth densities.

Publication Type: Conference Paper
Murdoch Affiliation: School of Chemical and Mathematical Science
Notes: Appears in Proceedings of the 52th International Statistical Institute Session, Helsinki, 1999. The Hague, The Netherlands: ISI.
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