Confidence intervals for multiple isotonic regression and other monotone models
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We consider the problem of constructing pointwise confidence intervals in the multiple isotonic regression model. Recently, [HZ19] obtained a pointwise limit distribution theory for the block max-min and min-max estimators [FLN17] in this model, but inference remains a difficult problem due to the nuisance parameter in the limit distribution that involves multiple unknown partial derivatives of the true regression function. In this paper, we show that this difficult nuisance parameter can be effectively eliminated by taking advantage of information beyond point estimates in the block max-min and min-max estimators. Formally, let û(x_0) (resp. v̂(x_0)) be the maximizing lower-left (resp. minimizing upper-right) vertex in the block max-min (resp. min-max) estimator, and f̂_n be the average of the block max-min and min-max estimators. If all (first-order) partial derivatives of f_0 are non-vanishing at x_0, then the following pivotal limit distribution theory holds: √(n |[û(x_0),v̂(x_0)]| )(f̂_n(x_0)-f_0(x_0))σ·L_1_d. Here σ is the standard deviation of the errors, and L_1_d is a universal limit distribution free of nuisance parameters. This immediately yields confidence intervals for f_0(x_0) with asymptotically exact confidence level and optimal length. Notably, the construction of the confidence intervals, even new in the univariate setting, requires no more efforts than performing an isotonic regression for once using the block max-min and min-max estimators, and can be easily adapted to other common monotone models. Extensive simulation results demonstrate the accuracy of the coverage probability of the proposed confidence intervals, giving strong support to our theory.
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