Monotone least squares and isotonic quantiles

DOI10.1214/19-EJS1659zbMATH Open1434.62056MaRDI QIDQ2283585FDOQ2283585

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

zbMATH Keywords

regression quantilesuniform consistencystochastic order

Mathematics Subject Classification ID

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

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 $x$.

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Cited in

(19)

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

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