Project Euclid

Let $(X, Y)$ be a pair of random variables such that $X = (X_1,\cdots, X_J)$ ranges over $C = \lbrack 0, 1\rbrack^J$. The conditional distribution of $Y$ given $X = x$ is assumed to belong to a suitable exponential family having parameter $\eta \in \mathbb{R}$. Let $\eta = f(x)$ denote the dependence of $\eta$ on $x$. Let $f^\ast$ denote the additive approximation to $f$ having the maximum possible expected log-likelihood under the model. Maximum likelihood is used to fit an additive spline estimate of $f^\ast$ based on a random sample of size $n$ from the distribution of $(X, Y)$. Under suitable conditions such an estimate can be constructed which achieves the same (optimal) rate of convergence for general $J$ as for $J = 1$.