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Estimation of a Likelihood Ratio Ordered Family of Distributions -- with a Connection to Total Positivity

22 July 2020
Alexandre Moesching
Lutz Dümbgen
ArXiv (abs)PDFHTML
Abstract

Consider bivariate observations (X1,Y1),…,(Xn,Yn)∈R×R(X_1,Y_1), \ldots, (X_n,Y_n) \in \mathbb{R}\times \mathbb{R}(X1​,Y1​),…,(Xn​,Yn​)∈R×R with unknown conditional distributions QxQ_xQx​ of YYY, given that X=xX = xX=x. The goal is to estimate these distributions under the sole assumption that QxQ_xQx​ is isotonic in xxx with respect to likelihood ratio order. If the observations are identically distributed, a related goal is to estimate the joint distribution L(X,Y)\mathcal{L}(X,Y)L(X,Y) under the sole assumption that it is totally positive of order two in a certain sense. After reviewing and generalizing the concepts of likelihood ratio order and total positivity of order two, an algorithm is developed which estimates the unknown family of distributions (Qx)x(Q_x)_x(Qx​)x​ via empirical likelihood. The benefit of the stronger regularization imposed by likelihood ratio order over the usual stochastic order is evaluated in terms of estimation and predictive performances on simulated as well as real data.

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