An optimization interpretation of integration and back-fitting estimators for separable nonparametric models |
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| Authors: | J P Nielsen & O B Linton |
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| Institution: | P.F.A. Pension, Copenhagen, Denmark,;Yale University, New Haven, USA |
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| Abstract: | We provide an optimization interpretation of both back-fitting and integration estimators for additive nonparametric regression. We find that the integration estimator is a projection with respect to a product measure. We also provide further understanding of the back-fitting method. |
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| Keywords: | Additive regression models Dimensionality reduction Kernel estimation Nonparametric regression |
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