Shape restricted regression with random Bernstein polynomials

DOI10.1214/074921707000000157arXiv0708.1054MaRDI QIDQ6206435FDOQ6206435

Chi-Chung Wen, I-Shou Chang, Li-Chu Chien, Yuh-Jenn Wu, Chao A. Hsiung

Publication date: 8 August 2007

Abstract: Shape restricted regressions, including isotonic regression and concave regression as special cases, are studied using priors on Bernstein polynomials and Markov chain Monte Carlo methods. These priors have large supports, select only smooth functions, can easily incorporate geometric information into the prior, and can be generated without computational difficulty. Algorithms generating priors and posteriors are proposed, and simulation studies are conducted to illustrate the performance of this approach. Comparisons with the density-regression method of Dette et al. (2006) are included.

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric regression and quantile regression (62G08) Numerical smoothing, curve fitting (65D10)

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