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Note on distribution-free estimation of maximum linear separation of two multivariate distributions
Authors:
Albert Vexler a;
Aiyi Liu a;
Enrique F. Schisterman a;
Chengqing Wu a
| Affiliation: | a Division of Epidemiology, Statistics and Prevention Research, USA |
DOI:
10.1080/10485250600662260
Publication Frequency:
8 issues per year
Published in:
Journal of Nonparametric Statistics,
Volume
18,
Issue
2
February
2006
, pages 145
- 158
Journal of Nonparametric Statistics,
Volume
18,
Issue
2
February
2006
, pages 145
- 158
Subjects:
Mathematical Economics;
Mathematical Finance;
Medical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
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Abstract
We consider the linear separation of two continuous multivariate distributions. Under mild conditions, the optimal linear separation exists uniquely. A kernel-smoothed approach is proposed to estimate the optimal linear combination and the corresponding separation measure. The proposed method yields consistent estimators allowing the construction of confidence intervals.
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| Keywords: Non-parametric Behrens-Fisher problem; Measure of separation; Kernel estimation; Stress-strength problem; Receiver operating characteristic curves; Linear combination |
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