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arXiv · 1904.12321

Nonparametric maximum likelihood estimation under a likelihood ratio order

Ted Westling·Kevin J. Downes·Dylan S. Small
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Abstract

Comparison of two univariate distributions based on independent samples from them is a fundamental problem in statistics, with applications in a wide variety of scientific disciplines. In many situations, we might hypothesize that the two distributions are stochastically ordered, meaning intuitively that samples from one distribution tend to be larger than those from the other. One type of stochastic order that arises in economics, biomedicine, and elsewhere is the likelihood ratio order, also known as the density ratio order, in which the ratio of the density functions of the two distributions is monotone non-decreasing. In this article, we derive and study the nonparametric maximum likelihood estimator of the individual distributions and the ratio of their densities under the likelihood ratio order. Our work applies to discrete distributions, continuous distributions, and mixed continuous-discrete distributions. We demonstrate convergence in distribution of the estimator in certain cases, and we illustrate our results using numerical experiments and an analysis of a biomarker for predicting bacterial infection in children with systemic inflammatory response syndrome.

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Ted Westling, Kevin J. Downes, Dylan S. Small. 2019-04-28. Nonparametric maximum likelihood estimation under a likelihood ratio order. https://arxiv.org/abs/1904.12321

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