On convex regression estimators

Néstor E. Aguilera, Liliana Forzani, Pedro Morin


A new nonparametric estimator of a convex regression function in any dimension is proposed and its convergence properties are studied. We start by using any estimator of the regression function and we convexify it by taking the convex envelope of a sample of the approximation obtained.
We prove that the uniform rate of convergence of the estimator is maintained after the convexification is applied.
The finite sample properties of the new estimator are investigated by means of a simulation study and the application of the new method is demonstrated in examples.

Keywords: approximation, convex regression, convexity, data-smoothing, nonparametric regression

Submitted: mayo 2010.

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