Active Set and EM Algorithms for Log-Concave Densities Based on Complete and Censored Data
Methodology
2011-03-21 v4 Computation
Abstract
We develop an active set algorithm for the maximum likelihood estimation of a log-concave density based on complete data. Building on this fast algorithm, we indidate an EM algorithm to treat arbitrarily censored or binned data.
Keywords
Cite
@article{arxiv.0707.4643,
title = {Active Set and EM Algorithms for Log-Concave Densities Based on Complete and Censored Data},
author = {Lutz Duembgen and Andre Huesler and Kaspar Rufibach},
journal= {arXiv preprint arXiv:0707.4643},
year = {2011}
}
Comments
Changes in versions 3-4: Updated references, corrections of minor errors, shortened section on EM algorithm (which will be treated in more detail in a separate paper)