A Constructing PDFs for Max Likelihood Density Estimation Problem

AEW
Messages
9
Reaction score
2
TL;DR Summary
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
 
Last edited:
Physics news on Phys.org
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.
 
  • Like
  • Informative
Likes AEW and FactChecker
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.
 
Namaste & G'day Postulate: A strongly-knit team wins on average over a less knit one Fundamentals: - Two teams face off with 4 players each - A polo team consists of players that each have assigned to them a measure of their ability (called a "Handicap" - 10 is highest, -2 lowest) I attempted to measure close-knitness of a team in terms of standard deviation (SD) of handicaps of the players. Failure: It turns out that, more often than, a team with a higher SD wins. In my language, that...
Hi all, I've been a roulette player for more than 10 years (although I took time off here and there) and it's only now that I'm trying to understand the physics of the game. Basically my strategy in roulette is to divide the wheel roughly into two halves (let's call them A and B). My theory is that in roulette there will invariably be variance. In other words, if A comes up 5 times in a row, B will be due to come up soon. However I have been proven wrong many times, and I have seen some...
Back
Top