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An optimization interpretation of integration and back-fitting estimators for separable nonparametric models

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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.
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Keywords: Additive regression models; Dimensionality reduction; Kernel estimation; Nonparametric regression

Document Type: Original Article

Affiliations: 1: P.F.A. Pension, Copenhagen, Denmark, 2: Yale University, New Haven, USA

Publication date: 01 January 1998

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