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Additive monotone regression in high and lower dimensions. (English) Zbl 07080019
Authors’ abstract: In numerous problems where the aim is to estimate the effect of a predictor variable on a response, one can assume a monotone relationship. For example, dose-effect models in medicine are of this type. In a multiple regression setting, additive monotone regression models assume that each predictor has a monotone effect on the response. In this paper, we present an overview and comparison of very recent frequentist methods for fitting additive monotone regression models. Three of the methods we present can be used both in the high dimensional setting, where the number of parameters \(p\) exceeds the number of observations \(n\), and in the classical multiple setting where \(1 < p \leq n\). However, many of the most recent methods only apply to the classical setting. The methods are compared through simulation experiments in terms of efficiency, prediction error and variable selection properties in both settings, and they are applied to the Boston housing data. We conclude with some recommendations on when the various methods perform best.
MSC:
62G08 Nonparametric regression and quantile regression
62J02 General nonlinear regression
65D07 Numerical computation using splines
62P20 Applications of statistics to economics
Software:
bnpmr; gamair; mboost; scar
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