Improving point and interval estimators of monotone functions by rearrangement

被引:105
|
作者
Chernozhukov, V. [1 ]
Fernandez-Val, I. [2 ]
Galichon, A. [3 ]
机构
[1] MIT, Dept Econ, Cambridge, MA 02142 USA
[2] Boston Univ, Dept Econ, Boston, MA 02215 USA
[3] Ecole Polytech, Dept Econ, F-91128 Palaiseau, France
基金
美国国家科学基金会;
关键词
Growth chart; Improved estimation; Improved inference; Isotonization; Lorentz inequality; Monotone function; Multivariate; Quantile regression; Rearrangement; NONPARAMETRIC REGRESSION; ASYMPTOTIC NORMALITY; STRICTLY MONOTONE; SERIES ESTIMATORS; CONFIDENCE BANDS; QUANTILES; SPLINES;
D O I
10.1093/biomet/asp030
中图分类号
Q [生物科学];
学科分类号
07 ; 0710 ; 09 ;
摘要
Suppose that a target function is monotonic and an available original estimate of this target function is not monotonic. Rearrangements, univariate and multivariate, transform the original estimate to a monotonic estimate that always lies closer in common metrics to the target function. Furthermore, suppose an original confidence interval, which covers the target function with probability at least 1-alpha, is defined by an upper and lower endpoint functions that are not monotonic. Then the rearranged confidence interval, defined by the rearranged upper and lower endpoint functions, is monotonic, shorter in length in common norms than the original interval, and covers the target function with probability at least 1-alpha. We illustrate the results with a growth chart example.
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页码:559 / 575
页数:17
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