Attributing a probability to the shape of a probability density

• 成果类型: Article
• 署名作者: Hall, P; Ooi, H
• 署名单位: Australian National University
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/009053604000000607
• 发表日期: 2004
• 页码: 2098-2123
• 关键词: excess mass; STOCHASTIC-PROCESSES; multimodality; tests; distributions; regions

摘要

We discuss properties of two methods for ascribing probabilities to the shape of a probability distribution. One is based on the idea of counting the number of modes of a bootstrap version of a standard kernel density estimator. We argue that the simplest form of that method suffers from the same difficulties that inhibit level accuracy of Silverman's bandwidth-based test for modality: the conditional distribution of the bootstrap form of a density estimator is not a good approximation to the actual distribution of the estimator. This difficulty is less pronounced if the density estimator is oversmoothed, but the problem of selecting the extent of oversmoothing is inherently difficult. It is shown that the optimal bandwidth, in the sense of producing optimally high sensitivity, depends on the widths of putative bumps in the unknown density and is exactly as difficult to determine as those bumps are to detect. We also develop a second approach to ascribing a probability to shape, using Muller and Sawitzki's notion of excess mass. In contrast to the context just discussed, it is shown that the bootstrap distribution of empirical excess mass is a relatively good approximation to its true distribution. This leads to empirical approximations to the likelihoods of different levels of modal sharpness, or delineation, of modes of a density. The technique is illustrated numerically.