On the degrees of freedom in shape-restricted regression

• 成果类型: Article
• 署名作者: Meyer, M; Woodroofe, M
• 署名单位: University System of Georgia; University of Georgia; University of Michigan System; University of Michigan
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• 发表日期: 2000
• 页码: 1083-1104
• 关键词: drift

摘要

For the problem of estimating a regression function, mu say, subject to shape constraints, like monotonicity or convexity it is argued that the divergence of the maximum likelihood estimator provides a useful measure of the effective dimension of the model. Inequalities are derived for the expected mean squared error of the maximum likelihood estimator and the expected residual sum of squares. These generalize equalities from the case of linear regression. As an application, it is shown that the maximum likelihood estimator of the error variance sigma (2) is asymptotically normal with mean sigma (2) and variance 2 sigma (2)/n. For monotone regression, it is shown that the maximum likelihood estimator of mu attains the optimal rate of convergence, and a bias correction to the maximum likelihood estimator of sigma (2) is derived.