Local additive estimation

DOI10.1111/J.1467-9868.2009.00731.XMaRDI QIDQ4632628zbMATH OpenOpenAlexFDO

Authors

Publication date 30 April 2019

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0806.0612

zbMATH Keywords

additive modelsbackfittinglocal polynomial smoothingnonparametric regression

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08)

Abstract: Additive models are popular in high--dimensional regression problems because of flexibility in model building and optimality in additive function estimation. Moreover, they do not suffer from the so-called {it curse of dimensionality} generally arising in nonparametric regression setting. Less known is the model bias incurring from the restriction to the additive class of models. We introduce a new class of estimators that reduces additive model bias and at the same time preserves some stability of the additive estimator. This estimator is shown to partially relieve the dimensionality problem as well. The new estimator is constructed by localizing the assumption of additivity and thus named {it local additive estimator}. Implementation can be easily made with any standard software for additive regression. For detailed analysis we explicitly use the smooth backfitting estimator by Mammen, Linton and Nielsen (1999).

Recommendations

• Direct estimation of low-dimensional components in additive models.
• Nonparametric regression penalizing deviations from additivity
• Fitting a bivariate additive model by local polynomial regression
• Two-stage local M-estimation of additive models
• On local estimating equations in additive multiparameter models

Cited in

(9)

• On local estimating equations in additive multiparameter models
• Marginal integration \(M\)-estimators for additive models
• Direct estimation of low-dimensional components in additive models.
• On the identifiability of additive index models
• Local linear-additive estimation for multiple nonparametric regressions
• Robust estimators for additive models using backfitting
• Fitting the additive model by recursion on dimension
• Efficient functional Lasso kernel smoothing for high-dimensional additive regression
• Two-stage local M-estimation of additive models

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Uses Software

• R

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