On Monday (14/01/2019), we have another interesting talk in our Probability and Statistics seminar series at TU Delft.
All of you are very welcome.
Lixue Pang (TU Delft)When: Monday, January 14th
Where: TU Delft, EWI-Lecture hall F
Bayesian estimation of a decreasing density
Consider the problem of estimating a decreasing density function, with special interest in zero. 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. Several choices of base measure are numerically evaluated and compared. In a simulation various frequentist methods and a Bayesian estimator are compared. Finally, the Bayesian procedure is applied to current durations data.
More details on the seminar’s website: