Bayesian estimation of a decreasing density
Abstract
Suppose $X_1,\dots, X_n$ is a random sample from a bounded and decreasing density $f_0$ on $[0,\infty)$. We are interested in estimating such $f_0$, with special interest in $f_0(0)$. This problem is encountered in various statistical applications and has gained quite some attention in the statistical literature. It is well known that the maximum likelihood estimator is inconsistent at zero. This has led several authors to propose alternative estimators which are consistent. As any decreasing density can be represented as a scale mixture of uniform densities, a Bayesian estimator is obtained by endowing the mixture distribution with the Dirichlet process prior. Assuming this prior, we derive contraction rates of the posterior density at zero by carefully revising arguments presented in Salomond (2014). Various methods for estimating the density are compared using a simulation study. We apply the Bayesian procedure to the current durations data described in Keiding et al.(2012).
 Publication:

arXiv eprints
 Pub Date:
 January 2018
 arXiv:
 arXiv:1801.02539
 Bibcode:
 2018arXiv180102539J
 Keywords:

 Mathematics  Statistics Theory