Functionals of nonparametric maximum likelihood estimators

by   Piet Groeneboom, et al.

Nonparametric maximum likelihood estimators (MLEs) in inverse problems often have non-normal limit distributions, like Chernoff's distribution. However, if one considers smooth functionals of the model, with corresponding functionals of the MLE, one gets normal limit distributions and faster rates of convergence. We demonstrate this for interval censoring models and a model for the incubation time of Covid-19. The usual approach in the latter models is to use parametric distributions, like Weibull and gamma distributions, which leads to inconsistent estimators. Smoothed bootstrap methods are discussed for choosing a bandwidth and constructing confidence intervals. The classical bootstrap, based on the nonparametric MLE itself, has been proved to be inconsistent in this situation.



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