A robust estimation method of the components of quasi-additive model using local linear regression and marginal integration is studied.Robust estimators are proposed for estimating the quasi-additive components.Under appropriate regularity conditions,it is shown that the proposed estimators exist and are asymptotic normal. Based on the robust estimation equations,one-step approximation to the fully-iterative M-estimator is introduced to reduce computational burden.The one-step estimator is shown to share the same asymptotic distribution as the fully-iterative M-estimator as long as the initial estimator is good enough.In other words,the one-step local M-estimator reduce significantly the computation cost of the fully-iterative M-estimator without deteriorating its performance.These facts are illustrated via numerical simulations .
Jian Tao LI Min ZHENG Yan Ling LIU School of Mathematical Sciences,Peking University,Beijing 100871,P.R.China..
Robust Estimation of Quasi-Additive Model. Acta Mathematica Sinica, Chinese Series, 2009(02): 117-130 https://doi.org/10.12386/A2009sxxb0038