Multivariate extensions of isotonic regression and total variation denoising via entire monotonicity and Hardy-Krause variation (Q2039786)

The authors study isotonic regression with \(d\)-dimensional covariate. The considered model is \(y=f(x) + \eta\), where \(f\) is an unknown regression function and \(\eta\) is a Gaussian random variable, and the goal is to find a nonparametric estimator of \(f\). In particular, the authors propose nonparametric least square estimators of \(f\) if \(f\) is an entirely monotonic function or \(f\) is of bounded Hardy-Krause variation. Since both classes of entirely monotonic functions and functions of bounded HK variation are infinitely dimensional, the authors use non-negative least squares (NNLS), and Lasso approaches to find the estimate of \(f\). Further, the authors provide a detailed study of the risk properties of the estimators and discuss the problem of a possible misspecification of the function \(f\).