Shape restricted regression with random Bernstein polynomials

DOI10.1214/074921707000000157MaRDI QIDQ6206435zbMATH OpenFDO

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

Publication date 8 August 2007

Full work available at URL https://doi.org/10.1214/074921707000000157

Mathematics Subject Classification ID

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

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.

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