Monotone function estimator and its application

MaRDI QIDQ6304998zbMATH OpenFDO

Authors Yunyi Zhang, Dimitris Politis, Jiazheng Liu, Zexin Pan

Publication date 3 August 2018

Abstract: In this paper, the model $Y_i=g(Z_i),i=1,2,\mathrm{...},n$ with $Z_i$ being random variables with known distribution and $g(x)$ being unknown strictly increasing function is proposed and almost sure convergence of estimator for $g(x)$ is proved for i.i.d and short range dependent data. Confidence intervals and bands are constructed for i.i.d data theoretically and confidence intervals are introduced for short range dependent data through resampling. Besides, a test for equivalence of $g(x)$ to the desired function is proposed. Finite sample analysis and application of this model on an urban waste water treatment plant's data is demonstrated as well.

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