On properties of local additive estimation based on the smooth backfitting estimator.

Park, Juhyun and Seifert, Burkhardt (2008) On properties of local additive estimation based on the smooth backfitting estimator. Working Paper. UNSPECIFIED. (Unpublished)

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Abstract

We study properties of local additive estimation based on the smooth backfitting estimator by Mammen, Linton and Nielsen (1999). The local additive estimator defined as a restricted additive estimator and thus inherits locally properties of additive estimator. Our asymptotic analysis shows that this provides a new class of nonparametric regression estimators for high dimensional problem. Simulation studies are used to assess finite sample performance.