Multiple Isotonic Median Regression
Robertson, Tim ; Wright, F. T.
Ann. Statist., Tome 1 (1973) no. 2, p. 422-432 / Harvested from Project Euclid
We consider the partial order on the unit square; $s_1 = (x_1, y_1) \ll s_2 = (x_2, y_2)$ if and only if $x_i \leqq y_i$ for $i = 1, 2$, and say that a real-valued function $f$ is isotone if $s_1 \ll s_2$ implies that $f(s_1) \leqq f(s_2)$. Suppose that for each point, $s$, in the unit square we have a distribution with median $m(s)$ and $m(s)$ is isotone. In this paper we propose an isotone estimator for $m$ which we denote by $\hat{m}$ and give an algorithm for computing $\hat{m}$. Furthermore we show that if $x_{ij} (j = 1, \cdots, n_i)$ are observations at $s_i (i = 1, \cdots, k)$ then $\hat{m}$ minimizes $D(f) = \sum^k_{i=1} \sum^{n_i}_{j=1} |f(s_i) - x_{ij}|$ over all isotone functions $f$. The estimator is also shown to be consistent for $m$ and some rates are given for this convergence. A brief discussion of isotone percentile regression is also given.
Publié le : 1973-05-14
Classification:  Isotone regression,  median,  percentile,  consistency,  $\sigma$-lattice,  62G05,  62J05,  60F15
@article{1176342408,
     author = {Robertson, Tim and Wright, F. T.},
     title = {Multiple Isotonic Median Regression},
     journal = {Ann. Statist.},
     volume = {1},
     number = {2},
     year = {1973},
     pages = { 422-432},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176342408}
}
Robertson, Tim; Wright, F. T. Multiple Isotonic Median Regression. Ann. Statist., Tome 1 (1973) no. 2, pp.  422-432. http://gdmltest.u-ga.fr/item/1176342408/