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Nonparametric estimation of an additive model with a link function

Authors: Joel L. Horowitz and Enno Mammen
Date: 13 July 2002
Type: cemmap Working Paper, CWP19/02
DOI: 10.1920/wp.cem.2002.1902


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 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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Joel L. Horowitz and Enno Mammen December 2004, Nonparametric estimation of an additive model with a link function, Journal Article

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