M-estimators for isotonic regression

DOI10.1016/J.JSPI.2012.02.051zbMATH Open1244.62023arXiv1105.5065OpenAlexW2963647644MaRDI QIDQ433757FDOQ433757

Victor J. Yohai, Enrique E. Álvarez

Publication date: 6 July 2012

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: In this paper we propose a family of robust estimates for isotonic regression: isotonic M-estimators. We show that their asymptotic distribution is, up to an scalar factor, the same as that of Brunk's classical isotonic estimator. We also derive the influence function and the breakdown point of these estimates. Finally we perform a Monte Carlo study that shows that the proposed family includes estimators that are simultaneously highly efficient under gaussian errors and highly robust when the error distribution has heavy tails.

Full work available at URL: https://arxiv.org/abs/1105.5065

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zbMATH Keywords

robust estimates

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric regression and quantile regression (62G08) Nonparametric robustness (62G35) General nonlinear regression (62J02) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Robustness and adaptive procedures (parametric inference) (62F35)

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Cited In (18)

• Small sample properties of isotonic estimators - bias and mean squared error of linear combinations under normality
• Robust estimation in partially linear regression models with monotonicity constraints
• New designs to consistently estimate the isotonic regression
• Double penalized semi-parametric signed-rank regression with adaptive LASSO
• Bayesian regression with B‐splines under combinations of shape constraints and smoothness properties
• Robust nonparametric estimators of monotone boundaries
• Isotonic regression for elicitable functionals and their Bayes risk
• A Sharper Computational Tool for Regression
• On recursive formulas for isotonic regression useful for statistical inference under order restrictions
• On Preliminary Test Isotonic M-Estimation of Multivariate Location Parameters
• Sharp asymptotics for isotonic regression
• On Integrated L¹ Convergence Rate of an Isotonic Regression Estimator for Multivariate Observations
• A User-Friendly Computational Framework for Robust Structured Regression with the L₂ Criterion
• Robust estimators in a generalized partly linear regression model under monotony constraints
• On the computation and some applications of multivariate isotonic regression
• Title not available (Why is that?)
• Title not available (Why is that?)
• M-estimation for the partially linear regression model under monotonic constraints

Uses Software

• robustbase

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