Journal
ANNALS OF STATISTICS
Volume 34, Issue 5, Pages 2252-2271Publisher
INST MATHEMATICAL STATISTICS
DOI: 10.1214/009053606000000696
Keywords
backfitting; nonparametric regression; local linear smoothing
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In this paper a new smooth backfitting estimate is proposed for additive regression models. The estimate has the simple structure of Nadaraya-Watson smooth backfitting but at the same time achieves the oracle property of local linear smooth backfitting. Each component is estimated with the same asymptotic accuracy as if the other components were known.
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