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Piecewise monotone estimation in one-parameter exponential families

Author

Listed:
  • Takeru Matsuda

    (The University of Tokyo
    RIKEN)

  • Yuto Miyatake

    (The University of Osaka)

Abstract

The problem of estimating a piecewise monotone sequence of normal means is called the nearly isotonic regression. For this problem, an efficient algorithm has been devised by modifying the pool adjacent violators algorithm (PAVA). In this study, we investigate estimation of a piecewise monotone parameter sequence for general one-parameter exponential families such as binomial, Poisson and chi-square. We develop an efficient algorithm based on the modified PAVA, which utilizes the duality between the natural and expectation parameters. We also provide a method for selecting the regularization parameter by using an information criterion. Simulation results demonstrate that the proposed method detects change-points in piecewise monotone parameter sequences in a data-driven manner. Applications to spectrum estimation, causal inference and discretization error quantification of ODE solvers are also presented.

Suggested Citation

  • Takeru Matsuda & Yuto Miyatake, 2025. "Piecewise monotone estimation in one-parameter exponential families," Statistical Papers, Springer, vol. 66(4), pages 1-20, June.
    • Handle: RePEc:spr:stpapr:v:66:y:2025:i:4:d:10.1007_s00362-025-01697-8
    DOI: 10.1007/s00362-025-01697-8
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    References listed on IDEAS

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