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Activity Number: 336
Type: Contributed
Date/Time: Tuesday, July 31, 2012 : 10:30 AM to 12:20 PM
Sponsor: Section on Statistical Computing
Abstract - #305790
Title: Semiparametric Unimodal Density Estimation Using Bernstein Polynomials
Author(s): Bradley Turnbull*+ and Sujit Kumar Ghosh
Companies: North Carolina State University and North Carolina State University
Address: Dept of Statistics-Campus Box 8203, Raleigh, NC, 27695-8203, United States
Keywords: Density Estimation ; Beta Mixture ; Bernstein Polynomials ; R Package ; Quadratic Programming
Abstract:

The estimation of probability density functions is one of the fundamental aspects of any statistical inference and most commonly based on an assumed family of parametric models, which are known to be unimodal. Parametric assumptions, however, may not be adequate for many inferential problems. This paper presents a flexible unimodal class of mixture of Beta densities as a sequence of Bernstein Polynomials. We show that the estimation of the mixing weights, and the degree of the polynomial, can be accomplished using a weighted least squares criteria subject to a set of linear constraints. We efficiently compute the number of mixing components and associated mixing weights of the beta mixture using quadratic programming techniques. Simulation studies are conducted to demonstrate the performance of the density estimates in terms of popular functional norms (e.g., Lp norms). The true underlying densities are allowed to be unimodal symmetric and skewed, with finite, infinite or semi-finite supports. An R package was also created to allow the user to input a data set and return the estimated density, distribution, quantile, and random sample generating functions.


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