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In many statistical regression and prediction problems, it is reasonable to assume monotone relationships between certain predictor variables and the outcome. Genomic effects on phenotypes are, for instance, often assumed to be monotone. However, in some settings, it may be reasonable to assume a partially linear model, where some of the covariates can be assumed to have a linear effect. One example is a prediction model using both high-dimensional gene expression data, and low-dimensional clinical data, or when combining continuous and categorical covariates. We study methods for fitting the partially linear monotone model, where some covariates are assumed to have a linear effect on the response, and some are assumed to have a monotone (potentially nonlinear) effect. Most existing methods in the literature for fitting such models are subject to the limitation that they have to be provided the monotonicity directions a priori for the different monotone effects. We here present methods for fitting partially linear monotone models which perform both automatic variable selection, and monotonicity direction discovery. The proposed methods perform comparably to, or better than, existing methods, in terms of estimation, prediction, and variable selection performance, in simulation experiments in both classical and high-dimensional data settings.

Several old and new density estimators may have good theoretical performance, but are hampered by not being bona fide densities; they may be negative in certain regions or may not integrate to 1. One can therefore not simulate from them, for example. This paper develops general modification methods that turn any density estimator into one which is a bona fide density, and which is always better in performance under one set of conditions and arbitrarily close in performance under a complementary set of conditions. This improvement-for-free procedure can, in particular, be applied for higher-order kernel estimators, classes of modern h4 bias kernel type estimators, superkernel estimators, the sinc kernel estimator, the k-NN estimator, orthogonal expansion estimators, and for various recently developed semi-parametric density estimators.

We present a new approach to regression function estimation in which a non-parametric regression estimator is guided by a parametric pilot estimate with the aim of reducing the bias. New classes of parametrically guided kernel weighted local polynomial estimators are introduced and formulae for asymptotic expectation and variance, hence approximated mean squared error and mean integrated squared error, are derived. It is shown that the new classes of estimators have the very same large sample variance as the estimators in the standard non-parametric setting, while there is substantial room for reducing the bias if the chosen parametric pilot function belongs to a wide neighbourhood around the true regression line. Bias reduction is discussed in light of examples and simulations.