Seminar Details:

LANS Informal Seminar
"Statistical estimation with shape constraints"

DATE: November 30, 2011

TIME: 15:00:00 - 16:00:00
SPEAKER: David Papp, Postdoctoral Fellow, IEMS, Northwestern University
LOCATION: Building 240, Conference Center 1404-1405, Argonne National Laboratory

Description:
In statistics we often have some a priori information or assumptions on the qualitative properties of the estimator, including constraints on the shape and support of the estimator. For instance, we may require that the estimator be increasing or decreasing, convex or concave, or unimodal over an interval, be bounded from above or below, or some combination of these. In this talk we shall discuss how to incorporate such information as hard constraints into the optimization model defining the estimator when the estimator is a polynomial spline. We show that in the univariate case these shape-constrained estimators can be computed in polynomial time. Examples from density estimation, monotone and convex regression, and arrival rate estimation will be presented. Time permitting, we shall discuss the theoretical complications that arise in the multivariate case, and present a few multivariate applications as well.


 

Please send questions or suggestions to Debojyoti Ghosh: ghosh at mcs dot anl dot gov.