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April 2021 Multivariate extensions of isotonic regression and total variation denoising via entire monotonicity and Hardy–Krause variation
Billy Fang, Adityanand Guntuboyina, Bodhisattva Sen
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Ann. Statist. 49(2): 769-792 (April 2021). DOI: 10.1214/20-AOS1977

Abstract

We consider the problem of nonparametric regression when the covariate is d dimensional, where d1. In this paper, we introduce and study two nonparametric least squares estimators (LSEs) in this setting—the entirely monotonic LSE and the constrained Hardy–Krause variation LSE. We show that these two LSEs are natural generalizations of univariate isotonic regression and univariate total variation denoising, respectively, to multiple dimensions. We discuss the characterization and computation of these two LSEs obtained from n data points. We provide a detailed study of their risk properties under the squared error loss and fixed uniform lattice design. We show that the finite sample risk of these LSEs is always bounded from above by n2/3 modulo logarithmic factors depending on d; thus these nonparametric LSEs avoid the curse of dimensionality to some extent. We also prove nearly matching minimax lower bounds. Further, we illustrate that these LSEs are particularly useful in fitting rectangular piecewise constant functions. Specifically, we show that the risk of the entirely monotonic LSE is almost parametric (at most 1/n up to logarithmic factors) when the true function is well approximable by a rectangular piecewise constant entirely monotone function with not too many constant pieces. A similar result is also shown to hold for the constrained Hardy–Krause variation LSE for a simple subclass of rectangular piecewise constant functions. We believe that the proposed LSEs yield a novel approach to estimating multivariate functions using convex optimization that avoid the curse of dimensionality to some extent.

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Billy Fang. Adityanand Guntuboyina. Bodhisattva Sen. "Multivariate extensions of isotonic regression and total variation denoising via entire monotonicity and Hardy–Krause variation." Ann. Statist. 49 (2) 769 - 792, April 2021. https://doi.org/10.1214/20-AOS1977

Information

Received: 1 March 2019; Revised: 1 December 2019; Published: April 2021
First available in Project Euclid: 2 April 2021

Digital Object Identifier: 10.1214/20-AOS1977

Subjects:
Primary: 62G08

Rights: Copyright © 2021 Institute of Mathematical Statistics

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Vol.49 • No. 2 • April 2021
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