Monotone least squares and isotonic quantiles

DOI10.1214/19-EJS1659MaRDI QIDQ2283585zbMATH OpenFDO

Authors Alexandre Mösching, Lutz Dümbgen

Publication date 3 January 2020

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1901.02398, https://projecteuclid.org/euclid.ejs/1578020615

zbMATH Keywords

regression quantilesstochastic orderuniform consistency

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Nonparametric regression and quantile regression (62G08) Measures of association (correlation, canonical correlation, etc.) (62H20)

Abstract: We consider bivariate observations $(X_1,Y_1),ldots,(X_n,Y_n)$ such that, conditional on the $X_i$, the $Y_i$ are independent random variables with distribution functions $F_{X_i}$, where $(F_x{)}_x$ is an unknown family of distribution functions. Under the sole assumption that $xmapsto{F}_x$ is isotonic with respect to stochastic order, one can estimate $(F_x{)}_x$ in two ways: (i) For any fixed $y$ one estimates the antitonic function $xmapsto{F}_x(y)$ via nonparametric monotone least squares, replacing the responses $Y_i$ with the indicators $1_{[Y_{i}ley]}$. (ii) For any fixed $$ one estimates the isotonic quantile function $$ via a nonparametric version of regression quantiles. We show that these two approaches are closely related, with (i) being more flexible than (ii). Then, under mild regularity conditions, we establish rates of convergence for the resulting estimators $hat{F}_x(y)$ and $$, uniformly over $(x,y)$ and $$ in certain rectangles as well as uniformly in $y$ or $$ for a fixed $x$.

Recommendations

• An improved monotone conditional quantile estimator
• Distribution-free properties of isotonic regression
• Convergence rates of monotone conditional quantile estimators
• Order-Preserving Nonparametric Regression, With Applications to Conditional Distribution and Quantile Function Estimation
• Least-squares estimation of two-ordered monotone regression curves

Cites work

• A uniform bound for the tail probability of Kolmogorov-Smirnov statistics
• About monotone regression quantiles.
• Algorithms in order restricted statistical inference and the Cauchy mean value property
• An improved monotone conditional quantile estimator
• Characterizing the optimal solutions to the isotonic regression problem for identifiable functionals
• Extensions of smoothing via taut strings
• scientific article; zbMATH DE number 193111 (Why is no real title available?)
• scientific article; zbMATH DE number 3804673 (Why is no real title available?)
• Inferences Under a Stochastic Ordering Constraint
• Maximum Likelihood Estimation of the Distributions of Two Stochastically Ordered Random Variables
• Monotone percentile regression
• New goodness-of-fit tests and their application to nonparametric confidence sets
• On Models and Hypotheses with Restricted Alternatives
• Regression Quantiles
• The asymptotic behavior of monotone percentile regression estimates

Cited in

(20)

• Convergence rates of monotone conditional quantile estimators
• Uniform estimation of isobars
• Forecast evaluation of quantiles, prediction intervals, and other set-valued functionals
• Characterizing the optimal solutions to the isotonic regression problem for identifiable functionals
• Isotonic regression for elicitable functionals and their Bayes risk
• Accelerating the pool-adjacent-violators algorithm for isotonic distributional regression
• Least-squares estimation of two-ordered monotone regression curves
• Isotonic quantile regression: asymptotics and bootstrap
• Distribution‐free Estimation of a Monotonic pth Quantile Function
• Order-Preserving Nonparametric Regression, With Applications to Conditional Distribution and Quantile Function Estimation
• Monotone support vector quantile regression
• Distributional (Single) Index Models
• Regression diagnostics meets forecast evaluation: conditional calibration, reliability diagrams, and coefficient of determination
• Easy Uncertainty Quantification (EasyUQ): Generating Predictive Distributions from Single-Valued Model Output
• Estimation and bootstrap for stochastically monotone Markov processes
• Consistent Estimation of Distribution Functions under Increasing Concave and Convex Stochastic Ordering
• Estimation of a Likelihood Ratio Ordered Family of Distributions
• New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
• Estimation and convergence rates in the distributional single index model
• Isotonic conditional laws

This page was built for publication: Monotone least squares and isotonic quantiles

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2283585)