Additive isotone regression

Details Additive isotone regression Additive isotone regression

2007-09-06

arxiv.org/abs/0709.0888v1

IMS Lecture Notes Monograph Series 2007, Vol. 55, 179-195

Mathematics

Statistics Theory

Published at http://dx.doi.org/10.1214/074921707000000355 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/p

Scientific paper

10.1214/074921707000000355

This paper is about optimal estimation of the additive components of a nonparametric, additive isotone regression model. It is shown that asymptotically up to first order, each additive component can be estimated as well as it could be by a least squares estimator if the other components were known. The algorithm for the calculation of the estimator uses backfitting. Convergence of the algorithm is shown. Finite sample properties are also compared through simulation experiments.

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