Least Squares estimation of two ordered monotone regression curves
Résumé
To project (in the L2 metric) a single function f on the set of increasing functions one takes the primitive of f, then its convex hull, and then takes the derivative. Here the problem is more complicated: project a pair (f,g) on the set of pairs of increasing functions, the former smaller than the latter. It is a regression problem with applications in statistics. The solution is not explicit but we solve it numerically through a projected subgradient algorithm from convex optimization
Origine | Fichiers produits par l'(les) auteur(s) |
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