Nonparametric Estimation of an Additive Model With a Link Function

Details Nonparametric Estimation of an Additive Model With a Link Function Nonparametric Estimation of an Additive Model With a Link Function

2005-08-30

arxiv.org/abs/math/0508595v1

Annals of Statistics 2004, Vol. 32, No. 6, 2412-2443

Mathematics

Statistics Theory

Published at http://dx.doi.org/10.1214/009053604000000814 in the Annals of Statistics (http://www.imstat.org/aos/) by the Inst

Scientific paper

10.1214/009053604000000814

This paper describes an estimator of the additive components of a nonparametric additive model with a known link function. When the additive components are twice continuously differentiable, the estimator is asymptotically normally distributed with a rate of convergence in probability of n^{-2/5}. This is true regardless of the (finite) dimension of the explanatory variable. Thus, in contrast to the existing asymptotically normal estimator, the new estimator has no curse of dimensionality. Moreover, the estimator has an oracle property. The asymptotic distribution of each additive component is the same as it would be if the other components were known with certainty.

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