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An Analysis of Transformations for Additive Nonparametric Regression
Journal article

An Analysis of Transformations for Additive Nonparametric Regression

Oliver B. Linton, Rong Chen, Naiysin Wang and Wolfgang Härdle
Journal of the American Statistical Association, Vol.92(440), pp.1512-1521
12/01/1997
DOI: https://doi.org/10.1080/01621459.1997.10473673

Abstract

Box-Cox transformation Dimensionality reduction Kernels
We consider a nonparametric regression model with a parametric family of dependent variable transformations, one of which induces additive covariate effects. We estimate the additive regression effects using the integration method and estimate the transformation parameter from a profiled instrumental variable and pseudolikelihood criterion. The asymptotic distributions of the parameter and regression estimates are given. The practical performance is investigated via an application.

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