An improved global risk bound in concave regression

DOI10.1214/16-EJS1151zbMATH Open1349.62126arXiv1512.04658MaRDI QIDQ309525FDOQ309525

Authors: Sabyasachi Chatterjee 

Publication date: 7 September 2016

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

Abstract: A new risk bound is presented for the problem of convex/concave function estimation, using the least squares estimator. The best known risk bound, as had appeared in citet{GSvex}, scaled like $log(en)n^{-4/5}$ under the mean squared error loss, up to a constant factor. The authors in cite{GSvex} had conjectured that the logarithmic term may be an artifact of their proof. We show that indeed the logarithmic term is unnecessary and prove a risk bound which scales like $n^{-4/5}$ up to constant factors. Our proof technique has one extra peeling step than in a usual chaining type argument. Our risk bound holds in expectation as well as with high probability and also extends to the case of model misspecification, where the true function may not be concave.

Full work available at URL: https://arxiv.org/abs/1512.04658

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zbMATH Keywords

concave regressionglobal risk bound

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

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Cited In (8)

• Nonparametric shape-restricted regression
• Stratified incomplete local simplex tests for curvature of nonparametric multiple regression
• Title not available (Why is that?)
• Global risk bounds and adaptation in univariate convex regression
• Convexification for data fitting
• The limiting behavior of isotonic and convex regression estimators when the model is misspecified
• On the risk of convex-constrained least squares estimators under misspecification
• Sharp oracle inequalities for least squares estimators in shape restricted regression

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