Least squares estimation of a quasiconvex regression function
准凸回归函数的最小二乘估计
Abstract We develop a new approach for the estimation of a multivariate function based on the economic axioms of quasiconvexity (and monotonicity). On the computational side, we prove the existence of the quasiconvex constrained least squares estimator (LSE) and provide a characterisation of the function space to compute the LSE via a mixed-integer quadratic programme. On the theoretical side, we provide finite sample risk bounds for the LSE via a sharp oracle inequality.…