Monotone Median Regression
Cryer, J. D. ; Robertson, Tim ; Wright, F. T. ; Casady, Robert J.
Ann. Math. Statist., Tome 43 (1972) no. 6, p. 1459-1469 / Harvested from Project Euclid
Suppose that for each real number $t$ in [0, 1] we have a distribution with distribution function $F_t(\bullet)$, mean $\mu(t)$ and median $m(t) (\mu(t)$ and $m(t)$ are referred to as regression functions). Consider the problems of estimating $\mu(\bullet)$ and $m(\bullet)$. In this paper we propose and discuss an estimator, $\hat{m}(\bullet)$, of $m(\bullet)$ which is monotone. This estimator is analogous to the estimator $\hat{\mu}(\bullet)$ of $\mu(\bullet)$ which was explored by Brunk (1970) (Estimation of isotonic regression in Nonparametric Techniques in Statistical Inference, Cambridge University Press, 177-195). Rates for the convergence of $\hat{m}(\bullet)$ to $m(\bullet)$ are given and a simulation study, where $\hat{m}(\bullet), \hat{\mu}(\bullet)$ and the least squares linear estimator are compared, is discussed.
Publié le : 1972-10-14
Classification: 
@article{1177692378,
     author = {Cryer, J. D. and Robertson, Tim and Wright, F. T. and Casady, Robert J.},
     title = {Monotone Median Regression},
     journal = {Ann. Math. Statist.},
     volume = {43},
     number = {6},
     year = {1972},
     pages = { 1459-1469},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177692378}
}
Cryer, J. D.; Robertson, Tim; Wright, F. T.; Casady, Robert J. Monotone Median Regression. Ann. Math. Statist., Tome 43 (1972) no. 6, pp.  1459-1469. http://gdmltest.u-ga.fr/item/1177692378/