Estimate a Log-Concave Probability Density from Iid Observations

Given independent and identically distributed observations X(1), ..., X(n), compute the maximum likelihood estimator (MLE) of a density as well as a smoothed version of it under the assumption that the density is log-concave, see Rufibach (2007) and Duembgen and Rufibach (2009). The main function of the package is 'logConDens' that allows computation of the log-concave MLE and its smoothed version. In addition, we provide functions to compute (1) the value of the density and distribution function estimates (MLE and smoothed) at a given point (2) the characterizing functions of the estimator, (3) to sample from the estimated distribution, (5) to compute a two-sample permutation test based on log-concave densities, (6) the ROC curve based on log-concave estimates within cases and controls, including confidence intervals for given values of false positive fractions (7) computation of a confidence interval for the value of the true density at a fixed point. Finally, three datasets that have been used to illustrate log-concave density estimation are made available.


News

logcondens_2.1.5:

  • Minor updates.

logcondens_2.1.4:

  • Properly import globals.

logcondens_2.1.3:

  • Added proper S3 exporting.

logcondens_2.1.2:

  • Updated dependency for c2hat.
  • Updated webadress for Lutz Duembgen.

logcondens_2.1.1:

  • Updated logConCI to compute a confidence interval.

logcondens_2.1.0:

  • Reorganized vignette to conform.
  • Updated references.

logcondens_2.0.9:

  • Added seed to logConCI.Rd.
  • Changed handling of pmax in logConCI().

logcondens_2.0.8:

  • Corrected a wrong link in evaluateLogConDens.
  • Added the function logConCI, contributed by M. Azadbakhsh and H. Jankowski.
  • Updated references.

logcondens_2.0.7:

  • Updated package to pass new checks on CRAN.
  • Updated references.

logcondens_2.0.6:

  • Modified function logConROC (option "smooth").
  • Added function confIntBootLogConROC_t0().

logcondens_2.0.5:

  • Added NAMESPACE.

logcondens_2.0.4:

  • Updated some references.
  • Corrected minor typos.

logcondens_2.0.3:

  • Contains final JSS paper version.

logcondens_2.0.2:

  • Added functions ROCx() and logConROC()
  • Added dataset 'pancreas'

logcondens_2.0.1:

  • Revision according to reviewer comments for JSS paper.
  • Replaced 'vectorToString()' by 'paste()' using option 'collapse'
  • Added JSS paper as a vignette to the package

logcondens_2.0.0:

  • Substantially reworked version according to revision of paper Duembgen and Rufibach (2010).
  • Updated Taylor approximations according to technical report Duembgen et al (2010).

logcondens_1.3.5:

  • Added 'reliability' and 'brightstar' datasets.
  • Added 'logconSmoothed'.
  • Added 'rlogcon'.

logcondens_1.3.4:

  • Included vignette in the package.

logcondens_1.3.3:

  • Updated references.
  • Updated vignette.

logcondens_1.3.2:

  • Updated references.

logcondens_1.3.1:

  • Updated contact informations.

logcondens_1.3.0:

  • Modified quantilesLogConDens. Value for p0 > 1 is set to +Inf.
  • Added the functions intF and intECDF.
  • Updated references.

logcondens_1.2:

  • Simplified evaluateLogConDens and quantilesLogConDens. Therefore, J00 was slightly generalized to variable upper endpoint and the function qloglin was introduced.
  • Replaced the variable name F for the estimated distribution function by Fhat.
  • Shortened title.

logcondens_1.1:

  • Specified affiliations.
  • Indicated that MatLab files are available upon request from Lutz Duembgen.
  • MLE: printed only L, but needs to print L_new; and print = 1 replaced by print = TRUE.
  • icmaLogCon: replaced ambiguous option "robust" by "robustif" (there is already a function called "robust")
  • LocalMLE: replaced explicit calculations by function call to LocalConvexity.
  • Help files: reformulated and complemented some entries.
  • Vignette: corrected some typos.

logcondens_1.0 (initial version):

  • Provide functions to estimate a log-concave probability density.

Reference manual

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install.packages("logcondens")

2.1.5 by Kaspar Rufibach, 3 years ago


http://www.kasparrufibach.ch , http://www.imsv.unibe.ch/about_us/staff/prof_dr_duembgen_lutz/index_eng.html


Browse source code at https://github.com/cran/logcondens


Authors: Kaspar Rufibach <[email protected]> and Lutz Duembgen <[email protected]>


Documentation:   PDF Manual  


GPL (>= 2) license


Imports ks, graphics, stats


Depended on by logcondens.mode, smoothtail.

Suggested by logconcens, pROC.


See at CRAN