Estimating piecewise monotone signals
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Publication:2180071
Applications of graph theory (05C90) Computational methods for problems pertaining to statistics (62-08) Minimax procedures in statistical decision theory (62C20) Nonparametric hypothesis testing (62G10) General nonlinear regression (62J02) Linear regression; mixed models (62J05) Sequential statistical analysis (62L10)
Abstract: We study the problem of estimating piecewise monotone vectors. This problem can be seen as a generalization of the isotonic regression that allows a small number of order-violating changepoints. We focus mainly on the performance of the nearly-isotonic regression proposed by Tibshirani et al. (2011). We derive risk bounds for the nearly-isotonic regression estimators that are adaptive to piecewise monotone signals. The estimator achieves a near minimax convergence rate over certain classes of piecewise monotone signals under a weak assumption. Furthermore, we present an algorithm that can be applied to the nearly-isotonic type estimators on general weighted graphs. The simulation results suggest that the nearly-isotonic regression performs as well as the ideal estimator that knows the true positions of changepoints.
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