Posterior Contraction and Testing for Multivariate Isotonic Regression

TL;DR

This paper develops a Bayesian method for multivariate isotonic regression, providing optimal posterior contraction rates and a consistent testing procedure for monotonicity in high-dimensional settings.

Contribution

It introduces a Bayesian approach with projection techniques for multivariate monotone functions, achieving optimal contraction rates and universal testing consistency.

Findings

Posterior contraction rate is optimal at n^{-1/(2+d)}.

The Bayesian test for monotonicity is universally consistent.

Power of the test approaches one for smooth alternatives at the appropriate rate.

Abstract

We consider the nonparametric regression problem with multiple predictors and an additive error, where the regression function is assumed to be coordinatewise nondecreasing. We propose a Bayesian approach to make an inference on the multivariate monotone regression function, obtain the posterior contraction rate, and construct a universally consistent Bayesian testing procedure for multivariate monotonicity. To facilitate posterior analysis, we set aside the shape restrictions temporarily, and endow a prior on blockwise constant regression functions with heights independently normally distributed. The unknown variance of the error term is either estimated by the marginal maximum likelihood estimate or is equipped with an inverse-gamma prior. Then the unrestricted block heights are a posteriori also independently normally distributed given the error variance, by conjugacy. To comply with the shape restrictions, we project samples from the unrestricted posterior onto the class of multivariate monotone functions, inducing the "projection-posterior distribution", to be used for making an inference. Under an $\mathbb{L}_1$-metric, we show that the projection-posterior based on $n$ independent samples contracts around the true monotone regression function at the optimal rate $n^{-1/(2+d)}$. Then we construct a Bayesian test for multivariate monotonicity based on the posterior probability of a shrinking neighborhood of the class of multivariate monotone functions. We show that the test is universally consistent, that is, the level of the Bayesian test goes to zero, and the power at any fixed alternative goes to one. Moreover, we show that for a smooth alternative function, power goes to one as long as its distance to the class of multivariate monotone functions is at least of the order of the estimation error for a smooth function.