A Note on The Backfitting Estimation of Additive Models

Details A Note on The Backfitting Estimation of Additive Models A Note on The Backfitting Estimation of Additive Models

2009-03-20

arxiv.org/abs/0903.3470v1

Mathematics

Statistics Theory

Scientific paper

The additive model is one of the most popular semiparametric models. The backfitting estimation (Buja, Hastie and Tibshirani, 1989, \textit{Ann. Statist.}) for the model is intuitively easy to understand and theoretically most efficient (Opsomer and Ruppert, 1997, \textit{Ann. Statist.}); its implementation is equivalent to solving simple linear equations. However, convergence of the algorithm is very difficult to investigate and is still unsolved. For bivariate additive models, Opsomer and Ruppert (1997, \textit{Ann. Statist.}) proved the convergence under a very strong condition and conjectured that a much weaker condition is sufficient. In this short note, we show that a weak condition can guarantee the convergence of the backfitting estimation algorithm when the Nadaraya-Watson kernel smoothing is used.

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