Active set algorithms for estimating shape-constrained density ratios

Abstract: In many instances, imposing a constraint on the shape of a density is a reasonable and flexible assumption. It offers an alternative to parametric models which can be too rigid and to other nonparametric methods requiring the choice of tuning parameters. This paper treats the nonparametric estimation of log-concave or log-convex density ratios by means of active set algorithms in a unified framework. In the setting of log-concave densities, the new algorithm is similar to but substantially faster than previously considered active set methods. Log-convexity is a less common shape constraint which is described by some authors as "tail inflation". The active set method proposed here is novel in this context. As a by-product, new goodness-of-fit tests of single hypotheses are formulated and are shown to be more powerful than higher criticism tests in a simulation study.