Active set algorithms for estimating shape-constrained density ratios

08/28/2018

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by   Lutz Duembgen, et al.

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We review and modify the active set algorithm by Duembgen et al. (2011) for nonparametric maximum-likelihood estimation of a log-concave density. This particular estimation problem is embedded into a more general framework including also the estimation of a log-convex tail inflation function as proposed by McCullagh and Polson (2012).