Limit properties of the monotone rearrangement for density and regression function estimation

DOI10.3150/17-BEJ998MaRDI QIDQ1715541zbMATH OpenOpenAlexWikidataFDO

Authors Dragi Anevski, Anne-Laure Fougeres

Publication date 28 January 2019

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0710.4617, https://projecteuclid.org/euclid.bj/1544605256

zbMATH Keywords

density estimationdependencelimit distributionsmonotone rearrangementregression function estimation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

Abstract: The monotone rearrrangement algorithm was introduced by Hardy, Littlewood and P'olya as a sorting device for functions. Assuming that $x$ is a monotone function and that an estimate $x_n$ of $x$ is given, consider the monotone rearrangement $hat{x}_n$ of $x_n$. This new estimator is shown to be uniformly consistent. Under suitable assumptions, pointwise limit distribution results for $hat{x}_n$ are obtained. The framework is general and allows for weakly dependent and long range dependent stationary data. Applications in monotone density and regression function estimation are detailed.

Recommendations

• Improving point and interval estimators of monotone functions by rearrangement
• Constructive approach to the monotone rearrangement of functions
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• A note on uniform consistency of monotone function estimators

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Cited in

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Uses Software

• KernSmooth

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