A two-stage hybrid procedure for estimating an inverse regression function

Details A two-stage hybrid procedure for estimating an inverse regression function A two-stage hybrid procedure for estimating an inverse regression function

2011-05-16

arxiv.org/abs/1105.3018v1

Annals of Statistics 2011, Vol. 39, No. 2, 956-989

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/10-AOS820 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of

Scientific paper

10.1214/10-AOS820

We consider a two-stage procedure (TSP) for estimating an inverse regression function at a given point, where isotonic regression is used at stage one to obtain an initial estimate and a local linear approximation in the vicinity of this estimate is used at stage two. We establish that the convergence rate of the second-stage estimate can attain the parametric $n^{1/2}$ rate. Furthermore, a bootstrapped variant of TSP (BTSP) is introduced and its consistency properties studied. This variant manages to overcome the slow speed of the convergence in distribution and the estimation of the derivative of the regression function at the unknown target quantity. Finally, the finite sample performance of BTSP is studied through simulations and the method is illustrated on a data set.

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