On Integrated L1 Convergence Rate of an Isotonic Regression Estimator for Multivariate Observations

DOI10.1109/TIT.2020.3013390MaRDI QIDQ5138822zbMATH OpenOpenAlexFDO

Authors Konstantinos Fokianos, Anne Leucht, Michael H. Neumann

Publication date 4 December 2020

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1710.04813

zbMATH Keywords

rate of convergencemodified classical isotonic least squares estimatormonotone regression estimation

Mathematics Subject Classification ID

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

Abstract: We consider a general monotone regression estimation where we allow for independent and dependent regressors. We propose a modification of the classical isotonic least squares estimator and establish its rate of convergence for the integrated $L_1$-loss function. The methodology captures the shape of the data without assuming additivity or a parametric form for the regression function. Furthermore, the degree of smoothing is chosen automatically and no auxiliary tuning is required for the theoretical analysis. Some simulations and two real data illustrations complement the study of the proposed estimator.

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Cited in

(9)

• Coverage of credible intervals in Bayesian multivariate isotonic regression
• Limit distribution theory for block estimators in multiple isotonic regression
• Isotonic regression in multi-dimensional spaces and graphs
• Isotonic regression with unknown permutations: statistics, computation and adaptation
• Berry-Esseen bounds for Chernoff-type nonstandard asymptotics in isotonic regression
• Isotonic subgroup selection
• Confidence intervals for multiple isotonic regression and other monotone models
• Posterior contraction and testing for multivariate isotonic regression
• Correcting an estimator of a multivariate monotone function with isotonic regression

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