SHARP ORACLE INEQUALITIES FOR LEAST SQUARES ESTIMATORS IN SHAPE RESTRICTED REGRESSION

• 成果类型: Article
• 署名作者: Bellec, Pierre C.
• 署名单位: Institut Polytechnique de Paris; ENSAE Paris; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute for Humanities & Social Sciences (INSHS); Rutgers University System; Rutgers University New Brunswick; Institut Polytechnique de Paris; ENSAE Paris
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/17-AOS1566
• 发表日期: 2018
• 页码: 745-780
• 关键词: convex regression; risk bounds

摘要

The performance of Least Squares (LS) estimators is studied in shape-constrained regression models under Gaussian and sub-Gaussian noise. General bounds on the performance of LS estimators over closed convex sets are provided. These results have the form of sharp oracle inequalities that account for the model misspecification error. In the presence of misspecification, these bounds imply that the LS estimator estimates the projection of the true parameter at the same rate as in the well-specified case. In isotonic and unimodal regression, the LS estimator achieves the non-parametric rate n(-2/3) as well as a parametric rate of order k/n up to logarithmic factors, where k is the number of constant pieces of the true parameter. In univariate convex regression, the LS estimator satisfies an adaptive risk bound of order q/n up to logarithmic factors, where q is the number of affine pieces of the true regression function. This adaptive risk bound holds for any collection of design points. While Guntuboyina and Sen [Probab. Theory Related Fields 163 (2015) 379-411] established that the nonparametric rate of convex regression is of order n(-4/5) for equispaced design points, we show that the nonparametric rate of convex regression can be as slow as n(-2/3) for some worst-case design points. This phenomenon can be explained as follows: Although convexity brings more structure than unimodality, for some worstcase design points this extra structure is uninformative and the nonparametric rates of unimodal regression and convex regression are both n(-2/3). Higher order cones, such as the cone of beta-monotone sequences, are also studied.