The weak-feature-impact effect on the NPMLE in monotone binary regression

Abstract

Statistical literature provides pointwise limiting distributions of the nonparametric maximum likelihood estimator (NPMLE) in monotone binary regression for the two extremal cases: If the feature-label relation is strictly monotone and sufficiently smooth, it converges at a cube-root-$n$ rate with scaled Chernoff-type limiting distribution, and it converges at the parametric $\sqrt{n}$-rate if the underlying relation is flat. In this article, we provide the complete picture of the distributional metamorphosis of the NPMLE, revealing a new limiting distribution which provides a significantly better distributional approximation for small samples in case of a weak feature-label relationship. It is shown to continuously interpolate between the two extremal cases. The innovative way to determine this distribution is to generate it as a limit of the NPMLE in the newly introduced weak-feature-impact triangular array for a particular parameter-sample-size constellation. Moreover, the phase transition is likewise observed for the suitably rescaled $L^1$-error in this weak-feature-impact scenario. As a by-product, its limiting distribution for flat regression functions is obtained, which was unknown before. The proof develops a completely new strategy, notably not based on the switch relation. A novel type of local minimax lower bounds accompanies these results.

Added Theorem 3.3 and several visualizations