Constructing PDFs for Max Likelihood Density Estimation Problem

In summary, the constrained optimization problem corresponding to the maximum likelihood density estimation is to maximize ##L(f)## subject to ##f\in H## and where ##n## is a fixed positive integer. The function ##f_n## graphically represented in the figure below has all but one of the properties you want, provided you choose the family of betas with peak heights at the even integers.
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Construct some probability density functions for the maximum likelihood density estimation problem.
I have the following constrained optimization problem corresponding to the maximum likelihood density estimation:
$$
\begin{aligned}
&\text{maximize} && L(f) \\
&\text{subject to} && f \in H \\
&&& \int_a^b f(x) \mathop{}\!\mathrm{d} x = 1 \\
&&& f(x) \geq 0 \text{ for all } x \in [a,b].
\end{aligned}
$$
where ##x## is a random variable with probability density function (PDF) ##f## on an interval ##[a,b] \subset \textrm{IR}##, and ##H## is a subspace of ##L^1 [a,b]## (i.e., Lebesgue integrable on ##[a,b]##).

I need to construct some PDFs ##f_n## to prove the existence of a solution to the above optimization problem, which should have the following properties:
- Continuous and positive on the interval ##(-1,1)##,
- Integrates to one on the interval ##[-1,1]##,
- Vanishes at ##(-1)## and ##1##,
- Equal to ##n## at ##x=0## (e.g., ##f_2=2## at ##x=0##).

These functions ##f_n## are graphically represented in the figure below. My question is how to mathematically represent the functions ##f_n##.

Thanks.

fn.png
 
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The PDFs of the beta distribution have all but one of the properties you want, on the interval [0,1], provided you choose ##\alpha = \beta##. That leaves one free parameter you can use to set the summit of each curve at the level you want.
If you select a family of betas with peak heights at the even integers, you can then just transpose them to the interval [-1,1] and halve their height to get what you need.
 
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  • #3
andrewkirk said:
The PDFs of the beta distribution have all but one of the properties you want, on the interval [0,1], provided you choose ##\alpha = \beta##. That leaves one free parameter you can use to set the summit of each curve at the level you want.
If you select a family of betas with peak heights at the even integers, you can then just transpose them to the interval [-1,1] and halve their height to get what you need.
Thank you, @andrewkirk, for your answer. That was helpful.
 
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FAQ: Constructing PDFs for Max Likelihood Density Estimation Problem

What is Maximum Likelihood Density Estimation?

Maximum Likelihood Density Estimation (MLDE) is a statistical method used to estimate the probability density function (PDF) of a random variable. It involves finding the parameters of a chosen distribution that maximize the likelihood of the observed data. This method is widely used because it provides a consistent and efficient way to infer the underlying distribution of the data.

How do you select the appropriate distribution for MLDE?

Selecting the appropriate distribution for MLDE typically involves exploratory data analysis and domain knowledge. Common methods include visualizing the data using histograms or Q-Q plots, and comparing these visualizations to known distributions. Information criteria like AIC (Akaike Information Criterion) or BIC (Bayesian Information Criterion) can also be used to compare the goodness-of-fit for different distributions.

What are the common challenges in constructing PDFs for MLDE?

Common challenges include selecting the correct model, handling outliers, dealing with high-dimensional data, and ensuring that the model does not overfit the data. Additionally, computational issues can arise, particularly with large datasets or complex models, making it important to use efficient algorithms and software.

How do you evaluate the performance of a PDF constructed using MLDE?

Performance can be evaluated using various statistical measures such as the log-likelihood, AIC, BIC, and goodness-of-fit tests like the Kolmogorov-Smirnov test. Cross-validation techniques can also be employed to assess how well the model generalizes to unseen data. Visual assessments through plots of the estimated PDF against the empirical data can provide intuitive insights as well.

What software or tools are commonly used for MLDE?

Several software packages and tools are commonly used for MLDE, including R (with packages like 'MASS' and 'fitdistrplus'), Python (with libraries such as SciPy and StatsModels), and specialized statistical software like SAS and MATLAB. These tools provide functions for fitting distributions, evaluating models, and visualizing results, making them essential for performing MLDE efficiently.

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