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Search Results: 1 - 10 of 1847 matches for " Mathias Drton "
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Multiple solutions to the likelihood equations in the Behrens-Fisher problem
Mathias Drton
Mathematics , 2007, DOI: 10.1016/j.spl.2008.06.012
Abstract: The Behrens-Fisher problem concerns testing the equality of the means of two normal populations with possibly different variances. The null hypothesis in this problem induces a statistical model for which the likelihood function may have more than one local maximum. We show that such multimodality contradicts the null hypothesis in the sense that if this hypothesis is true then the probability of multimodality converges to zero when both sample sizes tend to infinity. Additional results include a finite-sample bound on the probability of multimodality under the null and asymptotics for the probability of multimodality under the alternative.
Likelihood ratio tests and singularities
Mathias Drton
Mathematics , 2007, DOI: 10.1214/07-AOS571
Abstract: Many statistical hypotheses can be formulated in terms of polynomial equalities and inequalities in the unknown parameters and thus correspond to semi-algebraic subsets of the parameter space. We consider large sample asymptotics for the likelihood ratio test of such hypotheses in models that satisfy standard probabilistic regularity conditions. We show that the assumptions of Chernoff's theorem hold for semi-algebraic sets such that the asymptotics are determined by the tangent cone at the true parameter point. At boundary points or singularities, the tangent cone need not be a linear space and limiting distributions other than chi-square distributions may arise. While boundary points often lead to mixtures of chi-square distributions, singularities give rise to nonstandard limits. We demonstrate that minima of chi-square random variables are important for locally identifiable models, and in a study of the factor analysis model with one factor, we reveal connections to eigenvalues of Wishart matrices.
Computing all roots of the likelihood equations of seemingly unrelated regressions
Mathias Drton
Mathematics , 2005,
Abstract: Seemingly unrelated regressions are statistical regression models based on the Gaussian distribution. They are popular in econometrics but also arise in graphical modeling of multivariate dependencies. In maximum likelihood estimation, the parameters of the model are estimated by maximizing the likelihood function, which maps the parameters to the likelihood of observing the given data. By transforming this optimization problem into a polynomial optimization problem, it was recently shown that the likelihood function of a simple bivariate seemingly unrelated regressions model may have several stationary points. Thus local maxima may complicate maximum likelihood estimation. In this paper, we study several more complicated seemingly unrelated regression models, and show how all stationary points of the likelihood function can be computed using algebraic geometry.
Algebraic Techniques for Gaussian Models
Mathias Drton
Mathematics , 2006,
Abstract: Many statistical models are algebraic in that they are defined by polynomial constraints or by parameterizations that are polynomial or rational maps. This opens the door for tools from computational algebraic geometry. These tools can be employed to solve equation systems arising in maximum likelihood estimation and parameter identification, but they also permit to study model singularities at which standard asymptotic approximations to the distribution of estimators and test statistics may no longer be valid. This paper demonstrates such applications of algebraic geometry in selected examples of Gaussian models, thereby complementing the existing literature on models for discrete variables.
Discrete chain graph models
Mathias Drton
Statistics , 2009, DOI: 10.3150/08-BEJ172
Abstract: The statistical literature discusses different types of Markov properties for chain graphs that lead to four possible classes of chain graph Markov models. The different models are rather well understood when the observations are continuous and multivariate normal, and it is also known that one model class, referred to as models of LWF (Lauritzen--Wermuth--Frydenberg) or block concentration type, yields discrete models for categorical data that are smooth. This paper considers the structural properties of the discrete models based on the three alternative Markov properties. It is shown by example that two of the alternative Markov properties can lead to non-smooth models. The remaining model class, which can be viewed as a discrete version of multivariate regressions, is proven to comprise only smooth models. The proof employs a simple change of coordinates that also reveals that the model's likelihood function is unimodal if the chain components of the graph are complete sets.
A Mutagenetic Tree Hidden Markov Model for Longitudinal Clonal HIV Sequence Data
Niko Beerenwinkel,Mathias Drton
Mathematics , 2006, DOI: 10.1093/biostatistics/kxj033
Abstract: RNA viruses provide prominent examples of measurably evolving populations. In HIV infection, the development of drug resistance is of particular interest, because precise predictions of the outcome of this evolutionary process are a prerequisite for the rational design of antiretroviral treatment protocols. We present a mutagenetic tree hidden Markov model for the analysis of longitudinal clonal sequence data. Using HIV mutation data from clinical trials, we estimate the order and rate of occurrence of seven amino acid changes that are associated with resistance to the reverse transcriptase inhibitor efavirenz.
Algebraic statistical models
Mathias Drton,Seth Sullivant
Mathematics , 2007,
Abstract: Many statistical models are algebraic in that they are defined in terms of polynomial constraints, or in terms of polynomial or rational parametrizations. The parameter spaces of such models are typically semi-algebraic subsets of the parameter space of a reference model with nice properties, such as for example a regular exponential family. This observation leads to the definition of an `algebraic exponential family'. This new definition provides a unified framework for the study of statistical models with algebraic structure. In this paper we review the ingredients to this definition and illustrate in examples how computational algebraic geometry can be used to solve problems arising in statistical inference in algebraic models.
Maximum Likelihood Estimation in Gaussian Chain Graph Models under the Alternative Markov Property
Mathias Drton,Michael Eichler
Mathematics , 2005, DOI: 10.1111/j.1467-9469.2006.00482.x
Abstract: The AMP Markov property is a recently proposed alternative Markov property for chain graphs. In the case of continuous variables with a joint multivariate Gaussian distribution, it is the AMP rather than the earlier introduced LWF Markov property that is coherent with data-generation by natural block-recursive regressions. In this paper, we show that maximum likelihood estimates in Gaussian AMP chain graph models can be obtained by combining generalized least squares and iterative proportional fitting to an iterative algorithm. In an appendix, we give useful convergence results for iterative partial maximization algorithms that apply in particular to the described algorithm.
On a parametrization of positive semidefinite matrices with zeros
Mathias Drton,Josephine Yu
Mathematics , 2010,
Abstract: We study a class of parametrizations of convex cones of positive semidefinite matrices with prescribed zeros. Each such cone corresponds to a graph whose non-edges determine the prescribed zeros. Each parametrization in this class is a polynomial map associated with a simplicial complex supported on cliques of the graph. The images of the maps are convex cones, and the maps can only be surjective onto the cone of zero-constrained positive semidefinite matrices when the associated graph is chordal and the simplicial complex is the clique complex of the graph. Our main result gives a semi-algebraic description of the image of the parametrizations for chordless cycles. The work is motivated by the fact that the considered maps correspond to Gaussian statistical models with hidden variables.
Finiteness of small factor analysis models
Mathias Drton,Han Xiao
Statistics , 2009,
Abstract: We consider small factor analysis models with one or two factors. Fixing the number of factors, we prove a finiteness result about the covariance matrix parameter space when the size of the covariance matrix increases. According to this result, there exists a distinguished matrix size starting at which one can determine whether a given covariance matrix belongs to the parameter space by determining whether all principal submatrices of the distinguished size belong to the corresponding parameter space. We show that the distinguished matrix size is equal to four in the one-factor model and six with two factors.
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