Estimation in additive models with highly or non-highly correlated covariates

DOI10.1214/09-AOS753MaRDI QIDQ973871zbMATH OpenOpenAlexFDO

Authors Jiancheng Jiang, Yingying Fan, Jianqing Fan

Publication date 26 May 2010

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

Full work available at URL https://arxiv.org/abs/1010.0320

zbMATH Keywords

varying coefficientadditive modelbackfittinglocal linear smoothingnormalization

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to biology and medical sciences; meta analysis (62P10) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Biochemistry, molecular biology (92C40) Diffusion processes (60J60)

Abstract: Motivated by normalizing DNA microarray data and by predicting the interest rates, we explore nonparametric estimation of additive models with highly correlated covariates. We introduce two novel approaches for estimating the additive components, integration estimation and pooled backfitting estimation. The former is designed for highly correlated covariates, and the latter is useful for nonhighly correlated covariates. Asymptotic normalities of the proposed estimators are established. Simulations are conducted to demonstrate finite sample behaviors of the proposed estimators, and real data examples are given to illustrate the value of the methodology.

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Cited in

(5)

• Estimation of partially linear regression models under the partial consistency property
• Nonparametric regression with the scale depending on auxiliary variable
• Inadmissibility but near optimality of an estimator of correlated response variance under additive models
• Variable selection for additive model via cumulative ratios of empirical strengths total
• Asymptotics for in-sample density forecasting

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