On risk bounds in isotonic and other shape restricted regression problems

DOI10.1214/15-AOS1324MaRDI QIDQ2515496zbMATH OpenOpenAlexFDO

Authors Sabyasachi Chatterjee, Adityanand Guntuboyina, Bodhisattva Sen

Publication date 5 August 2015

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1311.3765, https://projecteuclid.org/euclid.aos/1434546222

zbMATH Keywords

adaptationconvex polyhedral conesglobal risk boundslocal minimax boundsmodel misspecificationstatistical dimension

Mathematics Subject Classification ID

Minimax procedures in statistical decision theory (62C20) Nonparametric regression and quantile regression (62G08)

Abstract: We consider the problem of estimating an unknown $hetain{mathbbR}^n$ from noisy observations under the constraint that $heta$ belongs to certain convex polyhedral cones in ${mathbbR}^n$. Under this setting, we prove bounds for the risk of the least squares estimator (LSE). The obtained risk bound behaves differently depending on the true sequence $heta$ which highlights the adaptive behavior of $heta$. As special cases of our general result, we derive risk bounds for the LSE in univariate isotonic and convex regression. We study the risk bound in isotonic regression in greater detail: we show that the isotonic LSE converges at a whole range of rates from $logn/n$ (when $heta$ is constant) to $n^{-2/3}$ (when $heta$ is uniformly increasing in a certain sense). We argue that the bound presents a benchmark for the risk of any estimator in isotonic regression by proving nonasymptotic local minimax lower bounds. We prove an analogue of our bound for model misspecification where the true $heta$ is not necessarily nondecreasing.

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