A note on the backfitting estimation of additive models
Xia, Yingcun
Bernoulli, Tome 15 (2009) no. 1, p. 1148-1153 / Harvested from Project Euclid
The additive model is one of the most popular semi-parametric models. The backfitting estimation (Buja, Hastie and Tibshirani, Ann. Statist. 17 (1989) 453–555) for the model is intuitively easy to understand and theoretically most efficient (Opsomer and Ruppert, Ann. Statist. 25 (1997) 186–211); 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 (Ann. Statist. 25 (1997) 186–211) 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 Nadaraya–Watson kernel smoothing is used.
Publié le : 2009-11-15
Classification:  additive model,  backfitting algorithm,  convergence of algorithm,  kernel smoothing
@article{1262962229,
     author = {Xia, Yingcun},
     title = {A note on the backfitting estimation of additive models},
     journal = {Bernoulli},
     volume = {15},
     number = {1},
     year = {2009},
     pages = { 1148-1153},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1262962229}
}
Xia, Yingcun. A note on the backfitting estimation of additive models. Bernoulli, Tome 15 (2009) no. 1, pp.  1148-1153. http://gdmltest.u-ga.fr/item/1262962229/