
We study the bias of the isotonic regression estimator. While there is extensive work characterizing the mean squared error of the isotonic regression estimator, relatively little is known about the bias. In this paper, we provide a sharp characterization, proving that the bias scales as $O(n^{-β/3})$ up to log factors, where $1 \leq β\leq 2$ is the exponent corresponding to H{ö}lder smoothness of the underlying mean. Importantly, this result only requires a strictly monotone mean and that the noise distribution has subexponential tails, without relying on symmetric noise or other restrictive assumptions.
bias, 62G08, Asymptotic distribution theory in statistics, Asymptotic properties of nonparametric inference, FOS: Mathematics, isotonic regression, Mathematics - Statistics Theory, Nonparametric regression and quantile regression, Statistics Theory (math.ST), Isotonic regression, Nonparametric estimation
bias, 62G08, Asymptotic distribution theory in statistics, Asymptotic properties of nonparametric inference, FOS: Mathematics, isotonic regression, Mathematics - Statistics Theory, Nonparametric regression and quantile regression, Statistics Theory (math.ST), Isotonic regression, Nonparametric estimation
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