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.
Authors
Northwestern University
Professor of Mathematical Statistics University of Mannheim
Working Paper details
- DOI
- 10.1920/wp.cem.2002.1902
- Publisher
- IFS
Suggested citation
Horowitz, J and Mammen, E. (2002). Nonparametric estimation of an additive model with a link function. London: IFS. Available at: https://ifs.org.uk/publications/nonparametric-estimation-additive-model-link-function (accessed: 25 April 2024).
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