A simple smooth backfitting method for additive models

Details A simple smooth backfitting method for additive models A simple smooth backfitting method for additive models

2007-02-22

arxiv.org/abs/math/0702657v1

Annals of Statistics 2006, Vol. 34, No. 5, 2252-2271

Mathematics

Statistics Theory

Published at http://dx.doi.org/10.1214/009053606000000696 in the Annals of Statistics (http://www.imstat.org/aos/) by the Inst

Scientific paper

10.1214/009053606000000696

In this paper a new smooth backfitting estimate is proposed for additive
regression models. The estimate has the simple structure of Nadaraya--Watson
smooth backfitting but at the same time achieves the oracle property of local
linear smooth backfitting. Each component is estimated with the same asymptotic
accuracy as if the other components were known.

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