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作者(中文):游崇鑫
作者(外文):You, Chong-Xin
論文名稱(中文):古典與平滑倒退擬合方法
論文名稱(外文):Classical and Smooth Backfitting
指導教授(中文):黃禮珊
指導教授(外文):Huang, Li-Shan
口試委員(中文):洪志真
陳宏
學位類別:碩士
校院名稱:國立清華大學
系所名稱:統計學研究所
學號:100024515
出版年(民國):102
畢業學年度:101
語文別:英文
論文頁數:60
中文關鍵詞:倒退擬合方法平滑倒退擬合方法加法模型局部線性迴歸模型平滑矩陣
外文關鍵詞:BackfittingSmooth backfittingAdditive modelLocal linear regressionSmoother matrix
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在文獻上,對於配適加法模型建立在局部線性迴歸模型中,平滑倒退擬合方法已經被證明它有比古典倒退擬合方法較好的理論性質,然而,平滑倒退擬合方法的演算法較複雜以致於較難應用,而在我們的研究中,我們希望可以建立一個關於古典與平滑倒退擬合方法的連結,並證明平滑倒退擬合方法它可以被改寫為古典退擬合方法藉由使用在 Huang and Chen (2008) 中所提出的平滑矩陣,而這個連結將使得平滑倒退擬合方法的演算法較容易執行且應用。
Smooth backfitting is shown to have better theoretical properties than classical backfitting for fitting additive models based on local linear regression. However the smooth backfitting algorithm is more complex, leading to limited applications. In our study we establish connections between classical and smooth backfitting and show that the smooth backfitting procedure can be written as a classical backfitting procedure with the smoother matrix in Huang and Chen (2008). The connections allow the smooth backfitting algorithm to be implemented in a much simplified way, making it easier for applications.
1 Introduction 1
2 Background 3
2.1 Additive models 3
2.1.1 Normal equations 3
2.1.2 Backtting algorithm 5
2.1.3 Modied backtting algorithm 6
2.1.4 Explicit solutions 8
2.1.5 Standard errors and degrees of freedom 9
2.1.6 A Bayesian view 9
2.2 Smooth backtting estimator 11
2.2.1 Locol constant smooth backtting estimator 12
2.2.2 Local linear smoother backtting estimator 13
2.3 Local polynomial regression in a projection framework 15
2.3.1 Local polynomial regression 15
2.3.2 Geometric properties of the asymptotic projection matrix 17
3 Additive models based on local polynomial projection 18
4 Connections between classical and smooth backtting 23
5 Simulation study 34
6 Discussion 40
Appendix 42
Tables 42
Figures 48
References 59
[1] Arcagni, A. and Bagnato, L. (2009). Package sBF (Smooth Backfitting with R).

[2] Buja, A., Hastie, T. and Tibshirani, R. (1989). Linear smoothers and additive models (with discussion). The Annals of Statistics, 17, 453-555.

[3] Fan, J. and Gijbels, I. (1996). Local Polynomial Modelling and Its Applications. London: Chapman and Hall.

[4] Fan, J., Manmen, E. and Hardle, W. (1998). Direct estimation of low-dimensional components in additive models. The Annals of Statistics, 26, 943-971.

[5] Hastie, T. and Tibshirani, R. J. (1990). Generalised additive models. London: Chapman and Hall.

[6] Huang, L. S. and Chan, K. S. (2013). Local polynomial and penalized trigonometric series regression. Statistica Sinica, tentatively accepted.

[7] Huang, L. S. and Chen, J. (2008). Analysis of variance, coefficient of determination and F-test for local polynomial regression. The Annals of Statistics, 36, 2085-2109.

[8] Huang, L. S. and Su, H. (2009). Nonparametric F-tests for nested global and local polynomial models. Journal of Statisticsl Planning and Inference, 139, 1372-1380.

[9] Linton, O. and Nielsen, J. P. (1995). A kernel method of estimating structured nonparametric regression based on marginal integration. Biometrika, 82, 93-100.

[10] Mammen, E., Linton, O. and Nielsen, J. (1999). The existence and asymptotic properties of a backffitting projection algorithm under weak conditions. The Annals of Statistics, 27, 1443-1490.

[11] Newey, W. K. (1994). Kernel Estimation of Partial Means and a General Variance Estimator. Econometric Theory, 10, 233-253.

[12] Nielsen, J. P. and Sperlich, S. (2005). Smooth backfitting in practice. Journal of the Royal Statistical Society, Series B, 67, 43-61.

[13] Opsomer, J. D. and Ruppert, D. (1997). Fitting a bivariate additive model by local polynomial regression. The Annals of Statistics, 25, 186-211.

[14] Tjøstheim, D. and Auestd, B. H. (1994). Nonparametric identication of nonlinear time series: Projections. The Journal of the American Statistical Association, 89, 1398-1409.
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