Local additive estimation

Additive models are popular in high–dimensional regression problems because of flexibility in model building and optimality in additive function estimation. Moreover, they do not suffer from the so-called curse of dimensionality generally arising in nonparametric regression setting. Less known is the model bias incurring from the restriction to the additive class of models. We introduce a new class of estimators that reduces additive model bias and at the same time preserves some stability of the additive estimator. This estimator is shown to partially relieve the dimensionality problem as well. The new estimator is constructed by localizing the assumption of additivity and thus named local additive estimator. Implementation can be easily made with any standard software for additive regression. For detailed analysis we explicitly use the smooth backfitting estimator by Mammen, Linton and Nielsen (1999). ∗Juhyun Park was Postdoctoral Research Fellow (Email:[email protected]), Burkhardt Seifert is Professor (Email:[email protected]) in Biostatistics unit, Institute for Social and Preventive Medicine, University of Zürich, Zürich, Switzerland. Funding for this work was provided by Swiss National Science Foundation grant 20020-103743. 1 ar X iv :0 80 6. 06 12 v1 [ st at .M E ] 3 J un 2 00 8