Departmental Colloquia: Gary Chan



Department of Biostatistics
University of Washington


A Likelihood Ratio Test for Shape-Constrained Density Functions



The celebrated Grenander (1956) estimator is the maximum likelihood estimator of a decreasing density function. In contrast to alternative nonparametric density estimators, Grenander estimator does not require any smoothing parameters and is often viewed as a fully automatic procedure. However, the monotonic density assumption might be questionable. While testing qualitative constraints such as monotonicity are difficult in general, we show that a likelihood ratio test statistic Kn has an incredibly simple asymptotic null distribution: n1/2(Knγ), where γ is the Euler-Mascheroni constant, converges to a normal distribution with mean 0 and variance π2/6-1.  The results are shown based on a connection between the test statistic and uniform spacing distributions, and by establishing a leading Op(n-1/6) remainder of the normalized test statistic.



Friday, 9/14/18, BLOC 113, 11:30 AM