On Integrated L^1 Convergence Rate of an Isotonic Regression Estimator for Multivariate Observations

10/13/2017

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by   Konstantinos Fokianos, et al.

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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 complement the study of the proposed estimator.