Marginal integration M-estimators for additive models

DOI10.1007/S11749-016-0508-0zbMATH Open1382.62026arXiv1509.04334OpenAlexW2248939373MaRDI QIDQ1694366FDOQ1694366

Graciela Boente, Alejandra Mercedes Martínez

Publication date: 1 February 2018

Published in: Test (Search for Journal in Brave)

Abstract: Additive regression models have a long history in multivariate nonparametric regression. They provide a model in which each regression function depends only on a single explanatory variable allowing to obtain estimators at the optimal univariate rate. Beyond backfitting, marginal integration is a common procedure to estimate each component. In this paper, we propose a robust estimator of the additive components which combines local polynomials on the component to be estimated and marginal integration. The proposed estimators are consistent and asymptotically normally distributed. A simulation study allows to show the advantage of the proposal over the classical one when outliers are present in the responses, leading to estimators with good robustness and efficiency properties.

Full work available at URL: https://arxiv.org/abs/1509.04334

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zbMATH Keywords

additive modelsrobustnessmarginal integrationkernel weightsmultivariate nonparametric regressionlocal \(M\)-estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35)

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Cited In (6)

• A robust proposal of estimation for the sufficient dimension reduction problem
• Robust nonparametric regression: a review
• Additive regression with parametric help
• Wavelet-based robust estimation and variable selection in nonparametric additive models
• Weak consistency of M-estimator in linear regression model with asymptotically almost negatively associated errors
• Estimation in additive Cox models by marginal integration

Uses Software

• robustbase

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