Jon A. Wellner, Fuchang Gao
We establish global rates of convergence of the Maximum Likelihood Estimator (MLE) of a multivariate distribution function in the case of (one type of) "interval censored" data. The main finding is that the rate of convergence of the MLE in the Hellinger metric is no worse than $n^{-1/3} (\log n)^γ$ for $γ= (5d - 4)/6$.
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We study three estimators for the interval censoring case 2 problem, a histogram-type estimator, proposed in Birgé (1999), the maximum likelihood estimator (MLE) and the smoothed MLE, using a smoothing kernel. Our focus is on the asymptotic distribution of the estimators at a fixed point. The estimators are compared in a simulation study.
Asymptotic properties of the MLE in distributional regression under random censoring
研究在随机右截断下分布回归中MLE的渐近性质，证明其几乎处处一致性和渐近正态性，并通过模拟和实际数据验证。
Accelerated life-testing (ALT) is a very useful technique for examining the reliability of highly reliable products. It allows testing the products at higher than usual stress conditions to induce failures more quickly and economically than under typical conditions. A special case of ALT are step-stress tests that allow experimenter to increase the stress levels at fixed times. This paper deals with the multiple step step-stress model under the cumulative exposure model with lognormally distributed lifetimes in the presence of Type-II and Progressive Type-II censoring. For this model, the maxi…
The asymptotic normality of the maximum likelihood estimator (MLE) under regularity conditions is a cornerstone of statistical theory. In this paper, we give explicit upper bounds on the distributional distance between the distribution of the MLE of a vector parameter, and the multivariate normal distribution. We work with possibly high-dimensional, independent but not necessarily identically distributed random vectors. In addition, we obtain explicit upper bounds even in cases where the MLE cannot be expressed analytically.
We use the delta method and Stein's method to derive, under regularity conditions, explicit upper bounds for the distributional distance between the distribution of the maximum likelihood estimator (MLE) of a $d$-dimensional parameter and its asymptotic multivariate normal distribution. Our bounds apply in situations in which the MLE can be written as a function of a sum of i.i.d. $t$-dimensional random vectors. We apply our general bound to establish a bound for the multivariate normal approximation of the MLE of the normal distribution with unknown mean and variance.
Convergence rates for estimating multivariate scale mixtures of uniform densities
本文提出了一种多变量尺度混合均匀密度估计方法，证明其收敛速度为立方根，且避免了维度灾难，同时提供了计算算法和实证分析。
We obtain explicit $p$-Wasserstein distance error bounds between the distribution of the multi-parameter MLE and the multivariate normal distribution. Our general bounds are given for possibly high-dimensional, independent and identically distributed random vectors. Our general bounds are of the optimal $\mathcal{O}(n^{-1/2})$ order. Explicit numerical constants are given when $p\in(1,2]$, and in the case $p>2$ the bounds are explicit up to a constant factor that only depends on $p$. We apply our general bounds to derive Wasserstein distance error bounds for the multivariate normal approximati…
In this paper, a competing risks model is analyzed based on improved adaptive type-II progressive censored sample (IAT-II PCS). Two independent competing causes of failures are considered. It is assumed that lifetimes of the competing causes of failure follow exponential distributions with different means. Maximum likelihood estimators (MLEs) for the unknown model parameters are obtained. Using asymptotic normality property of MLE, the asymptotic confidence intervals are constructed. Existence and uniqueness properties of the MLEs are studied. Further, bootstrap confidence intervals are comput…
We study a non-parametric approach to multivariate density estimation. The estimators are piecewise constant density functions supported by binary partitions. The partition of the sample space is learned by maximizing the likelihood of the corresponding histogram on that partition. We analyze the convergence rate of the sieve maximum likelihood estimator, and reach a conclusion that for a relatively rich class of density functions the rate does not directly depend on the dimension. This suggests that, under certain conditions, this method is immune to the curse of dimensionality, in the sense …
For the univariate current status and, more generally, the interval censoring model, distribution theory has been developed for the maximum likelihood estimator (MLE) and smoothed maximum likelihood estimator (SMLE) of the unknown distribution function, see, e.g., [12], [7], [4], [5], [6], [10], [11] and [8]. For the bivariate current status and interval censoring models distribution theory of this type is still absent and even the rate at which we can expect reasonable estimators to converge is unknown. We define a purely discrete plug-in estimator of the distribution function which locally c…
Inference about dependencies in a multiway data array can be made using the array normal model, which corresponds to the class of multivariate normal distributions with separable covariance matrices. Maximum likelihood and Bayesian methods for inference in the array normal model have appeared in the literature, but there have not been any results concerning the optimality properties of such estimators. In this article, we obtain results for the array normal model that are analogous to some classical results concerning covariance estimation for the multivariate normal model. We show that under …
In this paper, we study a class of non-parametric density estimators under Bayesian settings. The estimators are piecewise constant functions on binary partitions. We analyze the concentration rate of the posterior distribution under a suitable prior, and demonstrate that the rate does not directly depend on the dimension of the problem. This paper can be viewed as an extension of a parallel work where the convergence rate of a related sieve MLE was established. Compared to the sieve MLE, the main advantage of the Bayesian method is that it can adapt to the unknown complexity of the true densi…
In this paper, we introduce a new multivariate discrete distribution which called multivariate unification of generalized Apostol type distribution (UGAT). Several prop- erties are studied as, moments, probability generating function and other properties. Also, reliability study of distribution are introduced. Maximum likelihood method is used to estimate parameters and numerical method is used to obtain (MLEs).
Suppose that $\m{U} = (U_1, \ldots , U_d) $ has a Uniform$([0,1]^d)$ distribution, that $\m{Y} = (Y_1 , \ldots , Y_d) $ has the distribution $G$ on $\RR_+^d$, and let $\m{X} = (X_1 , \ldots , X_d) = (U_1 Y_1 , \ldots , U_d Y_d )$. The resulting class of distributions of $\m{X}$ (as $G$ varies over all distributions on $\RR_+^d$) is called the {\sl Scale Mixture of Uniforms} class of distributions, and the corresponding class of densities on $\RR_+^d$ is denoted by $\{\cal F}_{SMU}(d)$. We study maximum likelihood estimation in the family ${\cal F}_{SMU}(d)$. We prove existence of the MLE, esta…
Stein's method of moments for truncated multivariate distributions
本文利用 Stein 特征刻画为 i.i.d. 情形下的多种截断多元分布构造显式矩型估计量，证明其渐近性质，并通过模拟与 MLE 及 score matching 比较性能。
Nonparametric Estimation in Uniform Deconvolution and Interval Censoring
本文研究均匀去卷积中非参数最大似然估计的渐近行为，揭示 $F_0(1)=1$ 与 $F_0(1)<1$ 的二分法，并通过理论分析与模拟对后者提出并筛选竞争性猜想。
Nonparametric Least Squares Estimators for Interval Censoring
本文研究了区间删失数据中非参数最小二乘估计器的极限分布，探讨了其一致性及模拟结果，指出在多个观测时间情况下，非参数MLE与最小二乘估计器不再等价。
Minimax Optimal Rate for Parameter Estimation in Multivariate Deviated Models
本文研究多元偏差模型中最大似然估计的收敛速率，提出可区分性条件刻画已知函数与密度函数的线性独立关系，并结合偏差比例趋于零的速率给出全面的极小极大最优收敛速率。
A flexible control function approach for survival data subject to different types of censoring
针对未测量混杂与多类右删失并存的生存数据，本文提出基于参数变换和联合高斯回归的控制函数方法，证明可识别性与渐近正态性，并通过模拟和JTPA数据验证。
We show that there is an intimate connection between the theory of nonparametric (smoothed) maximum likelihood estimators for certain inverse problems and integral equations. This is illustrated by estimators for interval censoring and deconvolution problems. We also discuss the asymptotic efficiency of the MLE for smooth functionals in these models.
In this work, the estimation of the multivariate normal mean by different classes of shrinkage estimators is investigated. The risk associated with the balanced loss function is used to compare two estimators. We start by considering estimators that generalize the James-Stein estimator and show that these estimators dominate the maximum likelihood estimator (MLE), therefore are minimax, when the shrinkage function satisfies some conditions. Then, we treat estimators of polynomial form and prove the increase of the degree of the polynomial allows us to build a better estimator from the one prev…
Statistical inference of a competing risks model based on improved adaptive type-II progressive censored data under Gompertz lifetime distribution
本文针对斑胸草雀生存现象，研究Gompertz分布下改进自适应II型逐步删失数据的竞争风险模型，推导参数估计、构造区间并通过模拟与真实数据验证方法性能。
On consistency of the MLE under finite mixtures of location-scale distributions with a structural parameter
本文在位置-尺度分布有限混合模型框架下，给出了混合分布函数与结构参数最大似然估计的强相合性严格证明，且无需位置和尺度参数空间紧致，并推广至多元椭圆分布混合模型。
The idea of maximizing the likelihood of the observed range for a set of jointly realized counts has been employed in a variety of contexts. The applicability of the MLE introduced in [1] has been extended to the general case of a multivariate sample containing interval censored outcomes. In addition, a kernel density estimator and a related score function have been proposed leading to the construction of a modified Nadaraya-Watson regression estimator. Finally, the author has treated the problems of estimating the parameters of a mutinomial distribution and the analysis of contingency tables …
Generalized Linear Models with 1-Bit Measurements: Asymptotics of the Maximum Likelihood Estimator
本文为1比特删失数据下的广义线性模型多参数最大似然估计建立了渐近正态性条件，推导了Fisher信息矩阵，并应用于高斯和泊松模型。
We study the problem of learning multivariate log-concave densities with respect to a global loss function. We obtain the first upper bound on the sample complexity of the maximum likelihood estimator (MLE) for a log-concave density on $\mathbb{R}^d$, for all $d \geq 4$. Prior to this work, no finite sample upper bound was known for this estimator in more than $3$ dimensions. In more detail, we prove that for any $d \geq 1$ and $ε>0$, given $\tilde{O}_d((1/ε)^{(d+3)/2})$ samples drawn from an unknown log-concave density $f_0$ on $\mathbb{R}^d$, the MLE outputs a hypothesis $h$ that with high p…
A note on MLE of covariance matrix
针对多元正态分布协方差矩阵的极大似然估计（MLE）在Stein损失下的非可容许性问题，本研究通过完全Iwasawa分解强化了不同坐标系下MLE最小风险的差异，并引入新损失函数消除该差异与Stein悖论。
Estimating the unconstrained mean and covariance matrix is a popular topic in statistics. However, estimation of the parameters of $N_p(μ,Σ)$ under joint constraints such as $Σμ= μ$ has not received much attention. It can be viewed as a multivariate counterpart of the classical estimation problem in the $N(θ,θ^2)$ distribution. In addition to the usual inference challenges under such non-linear constraints among the parameters (curved exponential family), one has to deal with the basic requirements of symmetry and positive definiteness when estimating a covariance matrix. We derive the non-lin…
A Hybrid censoring scheme is mixture of Type-I and Type-II censoring schemes. Based on hybrid censored samples, this paper deals with the in- ference on R = P(X > Y ), when X and Y are two independent Weibull distributions with different scale parameters, but having the same shape pa- rameter. The maximum likelihood estimator (MLE), and the approximate MLE (AMLE) of R are obtained. The asymptotic distribution of the maxi- mum likelihood estimator of R is obtained. Based on the asymptotic distribu- tion, the confidence interval of R can be derived. Two bootstrap confidence intervals are also pr…
Information matrix equivalence in the presence of censoring: A goodness-of-fit test for semiparametric copula models with multivariate survival data
该研究证明了多变量删失生存数据下半参数copula模型的信息矩阵等价性，提出基于该等价性的copula函数设定信息比检验，推导其渐近分布并给出有限样本P值计算的参数bootstrap程序，通过模拟与真实数据验证了检验性能。
Maximum Likelihood Estimation of the Parameters of Matrix Variate Symmetric Laplace Distribution
本文研究多元对称拉普拉斯分布向矩阵变量情形的扩展，提出基于EM算法求解无法显式获得的参数最大似然估计量，给出MLE存在条件，并通过模拟数据评估了估计量的偏差与离散度。
Non-asymptotic bounds for quasi-MLE, misspecified models, and dependence under group sequential sampling
针对分组序贯拟极大似然估计，在模型可能误设定且组内存在依赖性的情况下，推导了渐近多元正态极限和显式非渐近正态逼近界，并应用于癫痫临床试验数据。
We study the distribution of the maximum likelihood estimate (MLE) in high-dimensional logistic models, extending the recent results from Sur (2019) to the case where the Gaussian covariates may have an arbitrary covariance structure. We prove that in the limit of large problems holding the ratio between the number $p$ of covariates and the sample size $n$ constant, every finite list of MLE coordinates follows a multivariate normal distribution. Concretely, the $j$th coordinate $\hat β_j$ of the MLE is asymptotically normally distributed with mean $α_\star β_j$ and standard deviation $σ_\star/…
It is well known that under general regularity conditions the distribution of the maximum likelihood estimator (MLE) is asymptotically normal. Very recently, bounds of the optimal order $O(1/\sqrt n)$ on the closeness of the distribution of the MLE to normality in the so-called bounded Wasserstein distance were obtained, where $n$ is the sample size. However, the corresponding bounds on the Kolmogorov distance were only of the order $O(1/n^{1/4})$. In this note, bounds of the optimal order $O(1/\sqrt n)$ on the closeness of the distribution of the MLE to normality in the Kolmogorov distance ar…
For normal canonical models with $X \sim N_p(θ, σ^{2} I_{p}), \;\; S^{2} \sim σ^{2}χ^{2}_{k}, \;{independent}$, we consider the problem of estimating $θ$ under scale invariant squared error loss $\frac{\|d-θ\|^{2}}{σ^{2}}$, when it is known that the signal-to-noise ratio $\frac{\|θ\|}σ$ is bounded above by $m$. Risk analysis is achieved by making use of a conditional risk decomposition and we obtain in particular sufficient conditions for an estimator to dominate either the unbiased estimator $δ_{UB}(X)=X$, or the maximum likelihood estimator $δ_{\hbox{mle}}(X,S^2)$, or both of these benchmark…
Maximum likelihood estimates and corresponding confidence regions of the estimates are commonly used in statistical inference. In practice, people often construct approximate confidence regions with the Fisher information at given sample data based on the asymptotic normal distribution of the MLE (maximum likelihood estimate). Two common Fisher information matrices (FIMs, for multivariate parameters) are the observed FIM (the Hessian matrix of negative log-likelihood function) and the expected FIM (the expectation of the observed FIM). In this article, we prove that under certain conditions an…
Differential Equations for Gaussian Statistical Models with Rational Maximum Likelihood Estimator
该研究建立了具有有理MLE的多元高斯统计模型与一阶非线性PDE解的一一对应，重新解读已知模型并发现新模型，还关联双有理几何的homaloidal多项式，为该类模型分类提供新思路。
In this paper, we focus on the parametric inference based on the Tampered Random Variable (TRV) model for simple step-stress life testing (SSLT) using Type-II censored data. The baseline lifetime of the experimental units, under normal stress conditions, follows the Gumbel Type-II distribution with $α$ and $λ$ being the shape and scale parameters, respectively. Maximum likelihood estimator (MLE) and Bayes estimator of the model parameters are derived based on Type-II censored samples. We obtain asymptotic intervals of the unknown parameters using the observed Fisher information matrix. Bayes e…
Estimating location parameters of two exponential distributions with ordered scale parameters
本文针对具有有序尺度参数的两个指数分布，提出位置参数的分量-wise估计方法，证明基准估计量不可容许，并给出主导估计量的充分条件及Stein型改进估计量，通过模拟验证其风险性能。
We establish asymptotic normality for estimators of the additive regression components under random censorship. To build our estimators, we couple the marginal integration method (Newey (1994)) with an initial Inverse Probability of Censoring Weighted estimator of the multivariate censored regression function introduced by Carbonez et al. (1995) and Kohler et al. (2002). Asymptotic confidence bands are derived from our result.
In group sequential analysis, data is collected and analyzed in batches until pre-defined stopping criteria are met. Inference in the parametric setup typically relies on the limiting asymptotic multivariate normality of the repeatedly computed maximum likelihood estimators (MLEs), a result first rigorously proved by Jennison and Turbull (1997) under general regularity conditions. In this work, using Stein's method we provide optimal order, non-asymptotic bounds on the distance for smooth test functions between the joint group sequential MLEs and the appropriate normal distribution under the s…
Efficient estimation of parameters in marginals in semiparametric multivariate models
针对半参数多变量模型边际参数估计问题，提出基于Bernstein-Kantorovich多项式copula的筛MLE估计量，兼具效率与鲁棒性，达到半参数效率界，在保险、金融风险管理场景中表现更优。
In this paper, we study the estimation of $R=P [Y < X ]$, also so-called the stress-strength model, when both $X$ and $Y$ are two independent random variables with the generalized linear failure rate distributions, under different assumptions about their parameters. We address the maximum likelihood estimator (MLE) of $R$ and the associated asymptotic confidence interval. In addition, we compute the MLE and the corresponding Bootstrap confidence interval when the sample sizes are small. The Bayes estimates of $R$ and the associated credible intervals are also investigated. An extensive compute…
We study exponential families of distributions that are multivariate totally positive of order 2 (MTP2), show that these are convex exponential families, and derive conditions for existence of the MLE. Quadratic exponential familes of MTP2 distributions contain attractive Gaussian graphical models and ferromagnetic Ising models as special examples. We show that these are defined by intersecting the space of canonical parameters with a polyhedral cone whose faces correspond to conditional independence relations. Hence MTP2 serves as an implicit regularizer for quadratic exponential families and…
Due to its heavy-tailed and fully parametric form, the multivariate generalized Gaussian distribution (MGGD) has been receiving much attention for modeling extreme events in signal and image processing applications. Considering the estimation issue of the MGGD parameters, the main contribution of this paper is to prove that the maximum likelihood estimator (MLE) of the scatter matrix exists and is unique up to a scalar factor, for a given shape parameter β\in(0,1). Moreover, an estimation algorithm based on a Newton-Raphson recursion is proposed for computing the MLE of MGGD parameters. Variou…
We consider the problem of estimating the joint distribution function of the event time and a continuous mark variable based on censored data. More specifically, the event time is subject to current status censoring and the continuous mark is only observed in case inspection takes place after the event time. The nonparametric maximum likelihood estimator (MLE) in this model is known to be inconsistent. We propose and study an alternative likelihood based estimator, maximizing a smoothed log-likelihood, hence called a maximum smoothed likelihood estimator (MSLE). This estimator is shown to be w…
HAL-MLE Log-Splines Density Estimation (Part I: Univariate)
本文提出基于HAL框架的HAL-MLE方法，用于单变量总变差惩罚密度估计，并建立了该方法的理论收敛性结果。
Adaptive minimax multivariate \(L^1\)-deconvolution: harmonic-mean rates under noise filtering, and a \(1\)-Wasserstein equivalence
该研究针对含各向异性噪声的多元卷积模型，扩展了L¹距离估计器，建立了匹配的极小极大速率，提出了自适应带宽选择方法，还揭示了L¹距离与1-瓦瑟斯坦距离的速率关联。
The James-Stein estimator is an estimator of the multivariate normal mean and dominates the maximum likelihood estimator (MLE) under squared error loss. The original work inspired great interest in developing shrinkage estimators for a variety of problems. Nonetheless, research on shrinkage estimation for manifold-valued data is scarce. In this paper, we propose shrinkage estimators for the parameters of the Log-Normal distribution defined on the manifold of $N \times N$ symmetric positive-definite matrices. For this manifold, we choose the Log-Euclidean metric as its Riemannian metric since i…
This paper considers the problem of robustly estimating the parameters of a heavy-tailed multivariate distribution when the covariance matrix is known to have the structure of a low-rank matrix plus a diagonal matrix as considered in factor analysis (FA). By assuming the observed data to follow the multivariate Student's t distribution, we can robustly estimate the parameters via maximum likelihood estimation (MLE). However, the MLE of parameters becomes an intractable problem when the multivariate Student's t distribution and the FA structure are both introduced. In this paper, we propose an …
Finite-sample performance of the maximum likelihood estimator in logistic regression
本文研究了逻辑回归中最大似然估计的有限样本性能，分析了其存在性和准确性，并在不同数据条件下提供了非渐近保证。
We study nonparametric maximum likelihood estimation for two classes of multivariate distributions that imply strong forms of positive dependence; namely log-supermodular (MTP$_2$) distributions and log-$L^\#$-concave (LLC) distributions. In both cases we also assume log-concavity in order to ensure boundedness of the likelihood function. Given $n$ independent and identically distributed random vectors in $\mathbb R^d$ from one of our distributions, the maximum likelihood estimator (MLE) exists a.s. and is unique a.e. with probability one when $n\geq 3$. This holds independently of the ambient…
Handling Missingness and Censoring in Dirichlet Models
研究在狄利克雷模型中处理缺失值和删失值的问题，开发EM型算法进行参数估计和基于模型的插补，通过模拟研究和实际数据验证，该方法能更好地保留成分结构，为相关数据提供合适模型。
We analyze the problem of maximum likelihood estimation for Gaussian distributions that are multivariate totally positive of order two (MTP2). By exploiting connections to phylogenetics and single-linkage clustering, we give a simple proof that the maximum likelihood estimator (MLE) for such distributions exists based on at least 2 observations, irrespective of the underlying dimension. Slawski and Hein, who first proved this result, also provided empirical evidence showing that the MTP2 constraint serves as an implicit regularizer and leads to sparsity in the estimated inverse covariance matr…
This paper proves the consistency property for the regularized maximum likelihood estimators (MLEs) of multivariate Hawkes processes (MHPs). It also develops an alternating minimization type algorithm (AA-iPALM) to compute the MLEs with guaranteed global convergence to the set of stationary points. The performance of this AA-iPALM algorithm on both synthetic and real-world data shows that AA-iPALM consistently improves over iPALM and PALM. Moreover, AA-iPALM is able to identify the causality structure in rental listings on craigslist and herd behavior in the NASDAQ ITCH dataset.
Structured Latent Attribute Models (SLAMs) are a family of discrete latent variable models widely used in education, psychology, and epidemiology to model multivariate categorical data. A SLAM assumes that multiple discrete latent attributes explain the dependence of observed variables in a highly structured fashion. Usually, the maximum marginal likelihood estimation approach is adopted for SLAMs, treating the latent attributes as random effects. The increasing scope of modern assessment data involves large numbers of observed variables and high-dimensional latent attributes. This poses chall…
In this article, we consider the estimation of unknown parameters of Weibull distribution when the lifetime data are observed in the presence of progressively type-I hybrid censoring scheme. The Newton-Raphson algorithm, Expectation-Maximization (EM) algorithm and Stochastic EM (SEM) algorithm are utilized to derive the maximum likelihood estimates (MLEs) for the unknown parameters. Moreover, Bayesian estimators using Tierney-Kadane Method and Markov Chain Monte Carlo (MCMC) method are obtained under three different loss functions, namely, squared error loss (SEL), linear-exponential (LINEX) a…
We derive exact computable expressions for the asymptotic distribution of the change-point mle when a change in the mean occurred at an unknown point of a sequence of time-ordered independent Gaussian random variables. The derivation, which assumes that nuisance parameters such as the amount of change and variance are known, is based on ladder heights of Gaussian random walks hitting the half-line. We then show that the exact distribution easily extends to the distribution of the change-point mle when a change occurs in the mean vector of a multivariate Gaussian process. We perform simulations…
Truncated, Censored, and Actuarial Payment-type Moments for Robust Fitting of a Single-parameter Pareto Distribution
本文针对单参数Pareto分布提出截断矩估计方法（MTuM），以解决MLE在存在离群值和截断、删失、缩放等损失控制机制下缺乏稳健性的问题，并建立了其渐近性质及与MLE的比较结果。
Error Bounds for Statistical Estimators in BTL Model with Parametric Multivariate Utility Functions
本文研究BTL模型下偏好诱导中未知参数向量的估计，推导了无约束MLE的有限样本误差界，揭示了Fisher信息几何决定估计难度，并给出达到极小极大速率的充分条件，为参数化效用诱导提供统一非渐近理论。
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