Asymptotic Distribution of Bounded Shape Constrained Lasso-Type Estimator for Graph-Structured Signals and Discrete Distributions

Abstract: This paper is dedicated to the asymptotic distribution of bounded shape constrained lasso-type estimator. We obtain the limiting distribution of the estimator and study its properties. It is proved that, under certain assumptions on the penalization parameters, the limiting distribution of the estimator is given by the certain constrained estimator applied to the asymptotic distribution of the unrestricted estimator, and, consequently, the estimator preserves the rate of convergence of the underlying estimator. Next, without the fusion penalisation term, the limiting distribution of the estimator is given by the concatenation of the individual nearly-isotonic estimators applied to the specific sub-vectors of the asymptotic distribution of the unrestricted estimator. This behaviour is similar to the case of isotonic regression. The obtained results are also applied to the constrained estimation of a discrete distribution supported on a directed acyclic graph.