On estimation of isotonic piecewise constant signals

DOI10.1214/18-AOS1792zbMATH Open1450.62034arXiv1705.06386OpenAlexW3029205332MaRDI QIDQ2196185FDOQ2196185

Authors: Yanyan Li 

Publication date: 28 August 2020

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

Abstract: Consider a sequence of real data points $X_1,ldots,X_n$ with underlying means $het{a}_1^{*},dots,het{a}_n^{*}$. This paper starts from studying the setting that $het{a}_i^{*}$ is both piecewise constant and monotone as a function of the index $i$. For this, we establish the exact minimax rate of estimating such monotone functions, and thus give a non-trivial answer to an open problem in the shape-constrained analysis literature. The minimax rate involves an interesting iterated logarithmic dependence on the dimension, a phenomenon that is revealed through characterizing the interplay between the isotonic shape constraint and model selection complexity. We then develop a penalized least-squares procedure for estimating the vector $het{a}^{*}=(het{a}_1^{*},dots,het{a}_n^{*}{)}^T$. This estimator is shown to achieve the derived minimax rate adaptively. For the proposed estimator, we further allow the model to be misspecified and derive oracle inequalities with the optimal rates, and show there exists a computationally efficient algorithm to compute the exact solution.

Full work available at URL: https://arxiv.org/abs/1705.06386

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zbMATH Keywords

adaptive estimationoracle inequalitiesisotonic piecewise constant functioniterated logarithmic dependencereduced isotonic regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

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Cited In (15)

• Optimal change-point detection and localization
• Fused Lasso nearly-isotonic signal approximation in general dimensions
• A Mass-Shifting Phenomenon of Truncated Multivariate Normal Priors
• On least squares estimation under heteroscedastic and heavy-tailed errors
• Multiscale change-point segmentation: beyond step functions
• Graph signal denoising using \(t\)-shrinkage priors
• Minimax and adaptive tests for detecting abrupt and possibly transitory changes in a Poisson process
• Isotonic regression with unknown permutations: statistics, computation and adaptation
• Non-convex isotonic regression via the Myersonian approach
• Estimating piecewise monotone signals
• Multiscale Quantile Segmentation
• Minimax rates in sparse, high-dimensional change point detection
• The bias of isotonic regression
• Empirical priors and posterior concentration in a piecewise polynomial sequence model
• Estimation of high-dimensional change-points under a group sparsity structure

Uses Software

• FDRSeg
• isotone
• LZeroSpikeInference

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