Iterative isotonic regression

DOI10.1051/PS/2014012MaRDI QIDQ2786465zbMATH OpenOpenAlexWikidataFDO

Authors Arnaud Guyader, Nick Hengartner, Nicolas Jégou, Eric Matzner-Lœber

Publication date 12 February 2016

Published in European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1303.4288

zbMATH Keywords

additive modelsisotonic regressionmetric projection onto convex conesnonparametric statistics

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

Abstract: This article introduces a new nonparametric method for estimating a univariate regression function of bounded variation. The method exploits the Jordan decomposition which states that a function of bounded variation can be decomposed as the sum of a non-decreasing function and a non-increasing function. This suggests combining the backfitting algorithm for estimating additive functions with isotonic regression for estimating monotone functions. The resulting iterative algorithm is called Iterative Isotonic Regression (I.I.R.). The main technical result in this paper is the consistency of the proposed estimator when the number of iterations $k_n$ grows appropriately with the sample size $n$. The proof requires two auxiliary results that are of interest in and by themselves: firstly, we generalize the well-known consistency property of isotonic regression to the framework of a non-monotone regression function, and secondly, we relate the backfitting algorithm to Von Neumann's algorithm in convex analysis.

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Cited in

(4)

• A geometrical approach to iterative isotone regression
• Efficient regularized isotonic regression with application to gene-gene interaction search
• Isotonic Distributional Regression
• Characterization of the least squares estimator: mis-specified multivariate isotonic regression model with dependent errors

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