AnL2-boosting algorithm for estimation of a regression function from random design is presented, which consists of fitting repeatedly a function from a fixed nonlinear function space to the residuals of the data by least squares and by defining the estimate as a linear combination of the resulting least squares estimates. Splitting of the sample is used to decide after how many iterations of smoothing of the residuals the algorithm terminates. The rate of convergence of the algorithm is analyzed in case of an unbounded response variable. The method is used to fit a sum of maxima of minima of linear functions to a given data set, and is compared with other nonparametric regression estimates using simulated data.

In this paper, estimation of a regression function from independent and identically distributed random variables is considered. Estimates are defined by minimization of the empirical L2risk over a class of functions, which are defined as maxima of minima of linear functions. Results concerning the rate of convergence of the estimates are derived. In particular, it is shown that for smooth regression functions satisfying the assumption of single index models, the estimate is able to achieve (up to some logarithmic factor) the corresponding optimal one-dimensional rate of convergence. Hence, under these assumptions, the estimate is able to circumvent the so-called curse of dimensionality. The small sample behavior of the estimates is illustrated by applying them to simulated data.