FabianRathke/fmlogcondens: Fast Multivariate Log-Concave Density Estimation

A fast solver for the maximum likelihood estimator (MLE) of a multivariate log-concave probability function. Given a sample X, it estimates a non-parametric density function whose logarithm is a concave function. Many well-known parametric densities belong to that class, among them the normal density, the uniform density, the exponential distribution and many more. This package provides functions for the estimation of a log-concave density and a mixture of log-concave densities in a multivariate setting. While being almost identical to the package LogConcDEAD in terms of the estimated density, fmlogcondens provides the result magnitudes faster for large samples (>= 250 points). As a reference see Fabian Rathke, Christoph Schnörr (2015), <doi:10.1515/auom-2015-0053>.

install.packages("remotes")
remotes::install_github("FabianRathke/fmlogcondens")