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An optimization interpretation of integration and back‐fitting estimators for separable nonparametric models
Author(s) -
Nielsen J. P.,
Linton O. B.
Publication year - 1998
Publication title -
journal of the royal statistical society: series b (statistical methodology)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 6.523
H-Index - 137
eISSN - 1467-9868
pISSN - 1369-7412
DOI - 10.1111/1467-9868.00120
Subject(s) - estimator , nonparametric statistics , interpretation (philosophy) , nonparametric regression , measure (data warehouse) , mathematics , regression , mathematical optimization , computer science , econometrics , statistics , data mining , programming language
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.