Nonparametric estimation of an additive model with a link function

DOI10.1214/009053604000000814MaRDI QIDQ2388331zbMATH OpenOpenAlexFDO

Authors Joel Horowitz, Enno Mammen

Publication date 12 September 2005

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0508595

zbMATH Keywords

kernel estimatesorthogonal series estimatormultivariate curve estimation

Mathematics Subject Classification ID

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

Abstract: This paper describes an estimator of the additive components of a nonparametric additive model with a known link function. When the additive components are twice continuously differentiable, the estimator is asymptotically normally distributed with a rate of convergence in probability of n^{-2/5}. This is true regardless of the (finite) dimension of the explanatory variable. Thus, in contrast to the existing asymptotically normal estimator, the new estimator has no curse of dimensionality. Moreover, the estimator has an oracle property. The asymptotic distribution of each additive component is the same as it would be if the other components were known with certainty.

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