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October 2001 Multiscale maximum likelihood analysis of a semiparametric model, with applications
Guenther Walther
Ann. Statist. 29(5): 1297-1319 (October 2001). DOI: 10.1214/aos/1013203455

Abstract

A special semiparametric model for a univariate density is introduced that allows analyzing a number of problems via appropriate transformations. Two problems treated in some detail are testing for the presence of a mixture and detecting a wear-out trend in a failure rate. The analysis of the semiparametric model leads to an approach that advances the maximum likelihood theory of the Grenander estimator to a multiscale analysis. The construction of the corresponding test statistic rests on an extension of a result on a two-sided Brownian motion with quadratic drift to the simultaneous control of “excursions under parabolas” at various scales of a Brownian bridge. The resulting test is shown to be asymptotically optimal in the minimax sense regarding both rate and constant, and adaptive with respect to the unknown parameter in the semiparametric model. The performance of the method is illustrated with a simulation study for the failure rate problem and with data from a flow cytometry experiment for the mixture analysis.

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Guenther Walther. "Multiscale maximum likelihood analysis of a semiparametric model, with applications." Ann. Statist. 29 (5) 1297 - 1319, October 2001. https://doi.org/10.1214/aos/1013203455

Information

Published: October 2001
First available in Project Euclid: 8 February 2002

zbMATH: 1043.62043
MathSciNet: MR1873332
Digital Object Identifier: 10.1214/aos/1013203455

Subjects:
Primary: 62G10
Secondary: 60F15

Rights: Copyright © 2001 Institute of Mathematical Statistics

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Vol.29 • No. 5 • October 2001
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