Correcting an estimator of a multivariate monotone function with isotonic regression
From MaRDI portal
Publication:2199702
Abstract: In many problems, a sensible estimator of a possibly multivariate monotone function may itself fail to be monotone. We study the correction of such an estimator obtained via projection onto the space of functions monotone over a finite grid in the domain. We demonstrate that this corrected estimator has no worse supremal estimation error than the initial estimator, and that analogously corrected confidence bands contain the true function whenever the initial bands do, at no loss to average or maximal band width. Additionally, we demonstrate that the corrected estimator is uniformly asymptotically equivalent to the initial estimator provided that the initial estimator satisfies a stochastic equicontinuity condition and that the true function is Lipschitz and strictly monotone. We provide simple sufficient conditions for our stochastic equicontinuity condition in the important special case that the initial estimator is uniformly asymptotically linear, and illustrate the use of these results for estimation of a G-computed distribution function. Our stochastic equicontinuity condition is weaker than standard uniform stochastic equicontinuity, which has been required for alternative correction procedures. Crucially, this allows us to apply our results to the bivariate correction of the local linear estimator of a conditional distribution function known to be monotone in its conditioning argument. Our experiments suggest that the projection step can yield significant practical improvements in performance for both the estimator and confidence band.
Recommendations
- On projection-type estimators of multivariate isotonic functions
- On improving distribution function estimators which are not monotonic functions
- Feasible Nonparametric Estimation of Multiargument Monotone Functions
- Nonparametric kernel regression subject to monotonicity constraints
- Estimating a smooth monotone regression function
Cites work
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 193111 (Why is no real title available?)
- scientific article; zbMATH DE number 847282 (Why is no real title available?)
- scientific article; zbMATH DE number 3390139 (Why is no real title available?)
- A local maximal inequality under uniform entropy
- A new approach to causal inference in mortality studies with a sustained exposure period—application to control of the healthy worker survivor effect
- A simple nonparametric estimator of a strictly monotone regression function
- An Effective Bandwidth Selector for Local Least Squares Regression
- An Empirical Distribution Function for Sampling with Incomplete Information
- An extension of the mixed primal-dual bases algorithm to the case of more constraints than dimensions
- Bootstrapping nonparametric density estimators with empirically chosen bandwidths.
- Causal inference for complex longitudinal data: the continuous case.
- Estimation of a Two-component Mixture Model with Applications to Multiple Testing
- Feasible Nonparametric Estimation of Multiargument Monotone Functions
- Improving point and interval estimators of monotone functions by rearrangement
- On Integrated L1 Convergence Rate of an Isotonic Regression Estimator for Multivariate Observations
- On projection-type estimators of multivariate isotonic functions
- On the weak convergence of the kernel density estimator in the uniform topology
- Quantile and probability curves without crossing
- Strong uniform consistency rates for estimators of conditional functionals
- Unified methods for censored longitudinal data and causality
- Weak convergence and empirical processes. With applications to statistics
Cited in
(10)- On improving distribution function estimators which are not monotonic functions
- On projection-type estimators of multivariate isotonic functions
- mBART: multidimensional monotone BART
- Nonparametric inference under a monotone hazard ratio order
- Causal survival analysis under competing risks using longitudinal modified treatment policies
- Inference for Treatment-Specific Survival Curves Using Machine Learning
- Targeted maximum likelihood estimation for causal inference in survival and competing risks analysis
- A comparison of different methods to adjust survival curves for confounders
- On estimation and cross-validation of dynamic treatment regimes with competing risks
- Functional quantile autoregression
This page was built for publication: Correcting an estimator of a multivariate monotone function with isotonic regression
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2199702)
