Least Squares and Shrinkage Estimation under Bimonotonicity Constraints

Details Least Squares and Shrinkage Estimation under Bimonotonicity Constraints Least Squares and Shrinkage Estimation under Bimonotonicity Constraints

2008-09-05

arxiv.org/abs/0809.0974v3

Statistics and Computing, Volume 20, Number 2 (2010), pp. 177-189

Statistics

Computation

Scientific paper

10.1007/s11222-009-9124-0

In this paper we describe active set type algorithms for minimization of a smooth function under general order constraints, an important case being functions on the set of bimonotone r-by-s matrices. These algorithms can be used, for instance, to estimate a bimonotone regression function via least squares or (a smooth approximation of) least absolute deviations. Another application is shrinkage estimation in image denoising or, more generally, regression problems with two ordinal factors after representing the data in a suitable basis which is indexed by pairs (i,j) in {1,...,r}x{1,...,s}. Various numerical examples illustrate our methods.

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