Accelerating the pool-adjacent-violators algorithm for isotonic distributional regression

DOI10.1007/S11009-022-09937-2MaRDI QIDQ2684933zbMATH OpenOpenAlexFDO

Authors Alexander Henzi, Alexandre Mösching, Lutz Dümbgen

Publication date 17 February 2023

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2006.05527

zbMATH Keywords

weighted least squaresmonotone regressionsequential computation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Order statistics; empirical distribution functions (62G30)

Abstract: In the context of estimating stochastically ordered distribution functions, the pool-adjacent-violators algorithm (PAVA) can be modified such that the computation times are reduced substantially. This is achieved by studying the dependence of antitonic weighted least squares fits on the response vector to be approximated.

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Cites work

• scientific article; zbMATH DE number 193111 (Why is no real title available?)
• scientific article; zbMATH DE number 3390139 (Why is no real title available?)
• Analyzing an extension of the isotonic regression problem
• Characterizing the optimal solutions to the isotonic regression problem for identifiable functionals
• Isotonic Distributional Regression
• Monotone least squares and isotonic quantiles

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(6)

• Easy Uncertainty Quantification (EasyUQ): Generating Predictive Distributions from Single-Valued Model Output
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• New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
• Prediction intervals for economic fixed-event forecasts
• Pool adjacent violators algorithm–assisted learning with application on estimating optimal individualized treatment regimes
• Distributional (Single) Index Models

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