Application of Variational Analysis and Control Theory to Nonparametric Maximum Likelihood Estimation of a Density Function

Ilya Shvartsman ()
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Ilya Shvartsman: Penn State Harrisburg

A chapter in Variational Analysis and Generalized Differentiation in Optimization and Control, 2010, pp 187-203 from Springer

Abstract: Abstract In this chapter, we propose a new approach to the estimation of the probability density function based on the maximum likelihood method if it is known that the underlying density function is Lipschitz. We treat this problem as an optimal control problem and prove convergence results using techniques of variational analysis.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:spochp:978-1-4419-0437-9_10

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DOI: 10.1007/978-1-4419-0437-9_10

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