Monotone regression and density function estimation at a point of discontinuity
Dragi Anevski and Ola Hössjer
Centre for Mathematical Sciences
Mathematical Statistics
Lund Institute of Technology,
Lund University,
1999
ISSN 14039338

Abstract:

Pointwise limit distribution results are given for the isotonic regression
estimator at a point of discontinuity. The cases treated are independent
data, $\phi$ and $\alpha$mixing data and suboordinated gaussian long range
dependent data. Pointwise limit results for the nonparametric maximum likelihood
estimator of a monotone density are given at a point af discontinuity, for
independent data. The limit distributions are nonstandard and differ from
the ones obtained for differentiable regression and density functions.

