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Accelerating the pool-adjacent-violators algorithm for isotonic distributional regression

06/09/2020
by   Alexander Henzi, et al.
0

In this note we describe in detail how to apply the pool-adjacent-violators algorithm (PAVA) efficiently in the context of estimating stochastically ordered distribution functions. The main idea is that the solution of a weighted monotone least squares problem changes only little if one component of the target vector to be approximated is changed.

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