R package: OrdMonReg

We consider the problem of estimating two isotonic regression curves g1* and g2* under the constraint that they are ordered, i.e. g1* <= g2*. Given two sets of n data points y_1, …, y_n and z_1, …, z_n that are observed at (the same) deterministic design points x_1, …, xn, the estimates are obtained by minimizing the Least Squares criterion L(a, b) = sum{i=1}^n (y_i - a_i)^2 w1(xi) + sum{i=1}^n (z_i - b_i)^2 w2(x_i) over the class of pairs of vectors (a, b) such that a and b are isotonic and a_i <= b_i for all i = 1, …, n. We offer two different approaches to compute the estimates: a projected subgradient algorithm where the projection is calculated using a PAVA as well as Dykstra’s cyclical projection algorithm.

Download OrdMonReg from CRAN