An optimization interpretation of integration and back-fitting estimators for separable nonparametric models |
| |
| Authors: | J. P. Nielsen,& O. B. Linton |
| |
| Affiliation: | P.F.A. Pension, Copenhagen, Denmark,;Yale University, New Haven, USA |
| |
| 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. |
| |
| Keywords: | Additive regression models Dimensionality reduction Kernel estimation Nonparametric regression |
|
|
