Consistency in Concave Regression
Open Access
- 1 November 1976
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Statistics
- Vol. 4 (6) , 1038-1050
- https://doi.org/10.1214/aos/1176343640
Abstract
For each $t$ in some subinterval $T$ of the real line let $F_t$ be a distribution function with mean $m(t)$. Suppose $m(t)$ is concave. Let $t_1, t_2, \cdots$ be a sequence of points in $T$ and let $Y_1, Y_2, \cdots$ be an independent sequence of random variables such that the distribution function of $Y_k$ is $F_{t_k}$. We consider estimators $m_n(t) = m_n(t; Y_1, \cdots, Y_n)$ which are concave in $t$ and which minimize $\sum^n_{i=1} \lbrack m_n(t_i; Y_1, \cdots, Y_n) - Y_i\rbrack^2$ over the class of concave functions. We investigate their consistency and the convergence of $\{m_n'(t)\}$ to $m'(t)$.