Technical report: Adaptivity and optimality of the monotone least squares estimator for four different models

Abstract

In this paper we will consider the estimation of a monotone regression (or density) function in a fixed point by the least squares (Grenander) estimator. We will show that this estimator is fully adaptive, in the sense that the attained rate is given by a functional relation using the underlying function $f_0$, and not by some smoothness parameter, and that this rate is optimal when considering the class of all monotone functions, in the sense that there exists a sequence of alternative monotone functions $f_1$, such that no other estimator can attain a better rate for both $f_0$ and $f_1$. We also show that under mild conditions the estimator attains the same rate in $L^q$ sense, and we give general conditions for which we can calculate a (non-standard) limiting distribution for the estimator.