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Zdravkovic L, Kontoe S (Ed.)Free, publicly-accessible full text available June 22, 2024
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Free, publicly-accessible full text available May 1, 2024
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We study the bias of the isotonic regression estimator. While there is extensive work characterizing the mean squared error of the iso- tonic regression estimator, relatively little is known about the bias. In this paper, we provide a sharp characterization, proving that the bias scales as O(n−β/3) up to log factors, where 1 ≤ β ≤ 2 is the exponent correspond- ing to H ̈older smoothness of the underlying mean. Importantly, this result only requires a strictly monotone mean and that the noise distribution has subexponential tails, without relying on symmetric noise or other restrictive assumptions.more » « less