Limit properties of the monotone rearrangement for density and regression function estimation

Dragi Anevski (1) , Anne-Laure Fougères (2)

1 Skane University Hospital [Lund]
2 PSPM - Probabilités, statistique, physique mathématique

The monotone rearrrangement algorithm was introduced by Hardy, Littlewood and Pólya as a sorting device for functions. Assuming that x is a monotone function and that an estimate x n of x is given, consider the monotone rearrangementˆxrearrangementˆ rearrangementˆx n of x n. This new estimator is shown to be uniformly consistent as soon as x n is. Under suitable assumptions, pointwise limit distribution results forˆxforˆ forˆx n are obtained. The framework is general and allows for weakly dependent and long range dependent stationary data. Applications in monotone density and regression function estimation are detailed. Asymptotics for rearrangement estimators with vanishing derivatives are also obtained in these two contexts.

Mots clés: monotone rearrangement; density estimation; dependence; Limit distributions; Regression function estimation

Domaines: Statistiques [math.ST]

Dragi Anevski, Anne-Laure Fougères. Limit properties of the monotone rearrangement for density and regression function estimation. Bernoulli, 2019, 25 (1), pp.549-583. ⟨10.3150/17-BEJ998⟩. ⟨hal-00182165v2⟩