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

DOI10.1214/09-AOS753zbMATH Open1189.62072arXiv1010.0320OpenAlexW3105393640MaRDI QIDQ973871FDOQ973871

Jiancheng Jiang, Jianqing Fan, Yingying Fan

Publication date: 26 May 2010

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

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.

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

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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)

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Cited In (5)

• Asymptotics for in-sample density forecasting
• 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
• Estimation of partially linear regression models under the partial consistency property
• Nonparametric regression with the scale depending on auxiliary variable

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