Integration and backfitting methods in additive models -- finite sample properties and comparison

DOI10.1007/BF02595879zbMath0938.62045MaRDI QIDQ1969432

Stefan Sperlich, Oliver B. Linton, Wolfgang Karl Härdle

Publication date: 13 June 2000

Published in: Test (Search for Journal in Brave)

zbMATH Keywords

additive modelscurse of dimensionalitydimensionality reductionmodel choice

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35)

Related Items (24)

Local polynomial estimation of nonparametric simultaneous equations models ⋮ Optimal testing for additivity in multiple nonparametric regression ⋮ Implied basket correlation dynamics ⋮ Finite sample performance of kernel-based regression methods for non-parametric additive models under common bandwidth selection criterion ⋮ Nonparametric long term prediction of stock returns with generated bond yields ⋮ SEMIPARAMETRIC ESTIMATION OF SEPARABLE MODELS WITH POSSIBLY LIMITED DEPENDENT VARIABLES ⋮ An updated review of goodness-of-fit tests for regression models ⋮ Derivative estimation and testing in generalized additive models ⋮ Marginal integration \(M\)-estimators for additive models ⋮ Estimation of a semiparametric transformation model ⋮ Estimating the error distribution function in semiparametric additive regression models ⋮ Estimating multiplicative and additive hazard functions by kernel methods ⋮ Testing for additivity in partially linear regression with possibly missing responses ⋮ Non‐parametric Regression Tests Using Dimension Reduction Techniques ⋮ A comparison of different nonparametric methods for inference on additive models ⋮ Prediction of Stock Returns: A New Way to Look at It ⋮ Nonparametric lag selection for nonlinear additive autoregressive models ⋮ Data-driven local bandwidth selection for additive models with missing data ⋮ UNIFORM BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATES OF M-REGRESSION AND ITS APPLICATION TO THE ADDITIVE MODEL ⋮ Estimation of Derivatives for Additive Separable Models ⋮ Estimating features of a distribution from binomial data ⋮ Some uniform consistency results in the partially linear additive model components estimation ⋮ Some Uniform Limit Results in Additive Regression Model ⋮ Rate optimal estimation with the integration method in the presence of many covariates

Uses Software

• KernSmooth
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Cites Work

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• Linear smoothers and additive models
• The dimensionality reduction principle for generalized additive models
• Additive regression and other nonparametric models
• Optimal rates of convergence for nonparametric estimators
• Semiparametric single index versus fixed link function modelling
• Multivariate locally weighted least squares regression
• Optimal global rates of convergence for nonparametric regression
• Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
• Semiparametric efficiency bounds
• Estimating Optimal Transformations for Multiple Regression and Correlation
• Estimation of additive regression models with known links
• On the backfitting algorithm for additive regression models
• An Optimization Interpretation of Integration and Back-Fitting Estimators for Separable Nonparametric Models
• Nonparametric Identification of Nonlinear Time Series: Projections
• Miscellanea. Efficient estimation of additive nonparametric regression models
• An Analysis of Transformations for Additive Nonparametric Regression
• A kernel method of estimating structured nonparametric regression based on marginal integration
• Estimation of Derivatives for Additive Separable Models

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