Central limit theorems for the $L_p$-error of smooth isotonic estimators (1805.12430v1)

Abstract: We investigate the asymptotic behavior of the $L_p$-distance between a monotone function on a compact interval and a smooth estimator of this function. Our main result is a central limit theorem for the $L_p$-error of smooth isotonic estimators obtained by smoothing a Grenander-type estimator or isotonizing the ordinary kernel estimator. As a preliminary result we establish a similar result for ordinary kernel estimators. Our results are obtained in a general setting, which includes estimation of a monotone density, regression function and hazard rate. We also perform a simulation study for testing monotonicity on the basis of the $L_2$-distance between the kernel estimator and the smoothed Grenander-type estimator.