Maximum Likelihood Estimation for Totally Positive Log-Concave Densities

Abstract

We study nonparametric maximum likelihood estimation for two classes of multivariate distributions that imply strong forms of positive dependence; namely log-supermodular (MTP$_2$) distributions and log-$L^\#$-concave (LLC) distributions. In both cases we also assume log-concavity in order to ensure boundedness of the likelihood function. Given $n$ independent and identically distributed random vectors in $\mathbb R^d$ from one of our distributions, the maximum likelihood estimator (MLE) exists a.s. and is unique a.e. with probability one when $n\geq 3$. This holds independently of the ambient dimension $d$. We conjecture that the MLE is always the exponential of a tent function. We prove this result for samples in $\{0,1\}^d$ or in $\mathbb{R}^2$ under MTP$_2$, and for samples in $\mathbb{Q}^d$ under LLC. Finally, we provide a conditional gradient algorithm for computing the maximum likelihood estimate.