Stacked Grenander and rearrangement estimators of a discrete distribution

06/01/2021

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by   Vladimir Pastukhov, et al.

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In this paper we consider the stacking of isotonic regression and the method of rearrangement with the empirical estimator to estimate a discrete distribution with an infinite support. The estimators are proved to be strongly consistent with √(n)-rate of convergence. We obtain the asymptotic distributions of the estimators and construct the asymptotically correct conservative global confidence bands. We show that stacked Grenander estimator outperforms the stacked rearrangement estimator. The new estimators behave well even for small sized data sets and provide a trade-off between goodness-of-fit and shape constraints.