Attributing a probability to the shape of a probability density

Details Attributing a probability to the shape of a probability density Attributing a probability to the shape of a probability density

2005-03-29

arxiv.org/abs/math/0503675v1

Annals of Statistics 2004, Vol. 32, No. 5, 2098-2123

Mathematics

Statistics Theory

Published at http://dx.doi.org/10.1214/009053604000000607 in the Annals of Statistics (http://www.imstat.org/aos/) by the Inst

Scientific paper

10.1214/009053604000000607

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.

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