Monotone least squares and isotonic quantiles

Mösching, Alexandre; Dümbgen, Lutz (2020). Monotone least squares and isotonic quantiles. Electronic journal of statistics, 14(1), pp. 24-49. Institute of Mathematical Statistics 10.1214/19-EJS1659

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We consider bivariate observations (X₁,Y₁),…,(Xn,Yn) such that, conditional on the Xi, the Yi are independent random variables. Precisely, the conditional distribution function of Yi equals FXi, where (Fx)x is an unknown family of distribution functions. Under the sole assumption that x↦Fx is isotonic with respect to stochastic order, one can estimate (Fx)x in two ways:
(i) For any fixed y one estimates the antitonic function x↦Fx(y) via nonparametric monotone least squares, replacing the responses Yi with the indicators 1[Yi≤y].
(ii) For any fixed β∈(0,1) one estimates the isotonic quantile function x↦F−1x(β) via a nonparametric version of regression quantiles.
We show that these two approaches are closely related, with (i) being more flexible than (ii). Then, under mild regularity conditions, we establish rates of convergence for the resulting estimators F^x(y) and F^−1x(β), uniformly over (x,y) and (x,β) in certain rectangles as well as uniformly in y or β for a fixed x.

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