Oracle-efficient Nonparametric Estimation of an Additive Model with an Unknown Link Function

@inproceedings{Horowitz2007OracleefficientNE,
  title={Oracle-efficient Nonparametric Estimation of an Additive Model with an Unknown Link Function},
  author={Joel L. Horowitz},
  year={2007}
}
This paper describes an estimator of the additive components of a nonparametric additive model with an unknown link function. When the additive components and link function are twice differentiable with sufficiently smooth second derivatives, the estimator is asymptotically normally distributed with a rate of convergence in probability of . This is true regardless of the (finite) dimension of the explanatory variable. Thus, the estimator has no curse of dimensionality. Moreover, the asymptotic… CONTINUE READING