The paper proves the inconsistency of isotonic regression at the boundary, derives consistent boundary-corrected estimators and a trimmed wild bootstrap, and applies them to monotone regression discontinuity designs.
Berry-Esseen bounds for Chernoff-type non-standard asymptotics in isotonic regression
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abstract
A Chernoff-type distribution is a nonnormal distribution defined by the slope at zero of the greatest convex minorant of a two-sided Brownian motion with a polynomial drift. While a Chernoff-type distribution is known to appear as the distributional limit in many non-regular statistical estimation problems, the accuracy of Chernoff-type approximations has remained largely unknown. In the present paper, we tackle this problem and derive Berry-Esseen bounds for Chernoff-type limit distributions in the canonical non-regular statistical estimation problem of isotonic (or monotone) regression. The derived Berry-Esseen bounds match those of the oracle local average estimator with optimal bandwidth in each scenario of possibly different Chernoff-type asymptotics, up to multiplicative logarithmic factors. Our method of proof differs from standard techniques on Berry-Esseen bounds, and relies on new localization techniques in isotonic regression and an anti-concentration inequality for the supremum of a Brownian motion with a Lipschitz drift.
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2019 1verdicts
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Isotonic Regression Discontinuity Designs
The paper proves the inconsistency of isotonic regression at the boundary, derives consistent boundary-corrected estimators and a trimmed wild bootstrap, and applies them to monotone regression discontinuity designs.