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On properties of local additive estimation based on the smooth backfitting estimator.

Research output: Working paper

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Abstract

We study properties of local additive estimation based on the smooth backfitting estimator by Mammen, Linton and Nielsen (1999). The local additive estimator defined as a restricted additive estimator and thus inherits locally properties of additive estimator. Our asymptotic analysis shows that this provides a new class of nonparametric regression estimators for high dimensional problem. Simulation studies are used to assess finite sample performance.