A Note on Local Scoring and Weighted Local Polynomial Regression in Generalized Additive Models
نویسندگان
چکیده
This article describes the asymptotic properties of local polynomial regression estimators for univariate and additive models when observation weights are included. Such weighted additive models are a crucial component of local scoring, the widely used estimation algorithm for generalized additive models described in Hastie and Tibshirani (1990). The statistical properties of the univariate local polynomial estimator are shown to be asymptotically unaffected by the weights. In contrast, the weights inflate the asymptotic variance of the additive model estimators. The implications of these findings for the local scoring estimators are discussed.
منابع مشابه
Weighted Local Polynomial Regression, Weighted Additive Models and Local Scoring
This article describes the asymptotic properties of local polynomial regression estimators for univariate and additive models when observation weights are included. The implications of these ndings are discussed for local scoring estimators, a widely used class of estimators for generalized additive models described in Hastie and Tibshirani (1990).
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