Estimating the index of increase via balancing deterministic and random data

Mathematical Methods of Statistics. 2018. Vol. 27. P. 83–102.

Chen L., Davydov Y., Gribkova N., Zitikis R.

We introduce and explore an empirical index of increase that works in both deterministic and random environments, thus allowing to assess monotonicity of functions that are prone to random measurement errors. We prove consistency of the index and show how its rate of convergence is influenced by deterministic and random parts of the data. In particular, the obtained results suggest a frequency at which observations should be taken in order to reach any pre-specified level of estimation precision.We illustrate the index using data arising from purely deterministic and error-contaminated functions, which may or may not be monotonic.

Ключевые слова: детерминизм, случайность, determinism, randomness, measurement errors, smoothing, index of increase, cross validation, индекс возрастания, ошибки измерений, сглаживание, кросс-валидация