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PreprintCC BY 4.0arXiv

Simultaneous inference for additive regression

  • Donghyun Kim
  • Changwon Choi
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Abstract

This paper develops methods for simultaneous inference on component functions in additive models. We first propose bias-corrected smooth backfitting estimators inspired by least squares linear regression and establish their asymptotic properties. We then show that the distributions of the uniform errors of these estimators converge to a Gumbel-type distribution. Based on this distributional approximation, we construct simultaneous confidence bands and develop a practical residual-based procedure for testing the additive components. Simulation studies and empirical data analyses demonstrate that the proposed estimators reduce bias and improve estimation accuracy compared with several existing estimators. Moreover, the empirical coverage probabilities of the proposed simultaneous confidence bands are found to be comparable to those of their oracle counterparts.

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Cite

BibTeXRIS
BibTeX
@misc{kim2026simultaneous,
  title = {{Simultaneous inference for additive regression}},
  author = {Donghyun Kim and Changwon Choi},
  howpublished = {arXiv},
  year = {2026},
  month = oct,
  doi = {10.48550/arxiv.2610.41442},
  eprint = {2610.41442},
  archivePrefix = {arXiv},
  url = {https://arxiv.org/abs/2610.41442},
  note = {CC BY 4.0},
}
RIS
TY  - UNPB
TI  - Simultaneous inference for additive regression
AU  - Donghyun Kim
AU  - Changwon Choi
PY  - 2026
DA  - 2026/10/30
PB  - arXiv
DO  - 10.48550/arxiv.2610.41442
UR  - https://arxiv.org/abs/2610.41442
AB  - This paper develops methods for simultaneous inference on component functions in additive models. We first propose bias-corrected smooth backfitting estimators inspired by least squares linear regression and establish their asymptotic properties. We then show that the distributions of the uniform errors of these estimators converge to a Gumbel-type distribution. Based on this distributional approximation, we construct simultaneous confidence bands and develop a practical residual-based procedure for testing the additive components. Simulation studies and empirical data analyses demonstrate that the proposed estimators reduce bias and improve estimation accuracy compared with several existing estimators. Moreover, the empirical coverage probabilities of the proposed simultaneous confidence bands are found to be comparable to those of their oracle counterparts.
ER  -