Event Diary
CRiSM Seminar
Dr Richard Samworth, Statistical Laboratory, Cambridge
Computing the maximum likelihood estimator of a
multidimensional log-concave density
We show that if
$X_1,...,X_n$ are a random sample from a log-concave density $f$ in
$\mathbb{R}^d$, then with probability one there exists a unique maximum
likelihood estimator $\hat{f}_n$ of $f$. The use of this estimator is
attractive because, unlike kernel density estimation, the estimator is fully
automatic, with no smoothing parameters to choose. The existence proof is
non-constructive, however, and in practice we require an iterative algorithm
that converges to the estimator. By reformulating the problem as one of
non-differentiable convex optimisation, we are able to exhibit such an
algorithm. We will also show how the method can be combined with the EM
algorithm to fit finite mixtures of log-concave densities. The talk will be
illustrated with pictures from the R package LogConcDEAD.
This is
joint work with Madeleine Cule (Cambridge), Bobby Gramacy (Cambridge) and
Michael Stewart (University of Sydney).