Linton, Oliver, Hardle, W and Sperlich, S (1999) Integration and backfitting methods in additive models-finite sample properties and comparison. TEST, 8 (2). pp. 419-458. ISSN 1133-0686
Abstract
We examine and compare the finite sample performance of the competing back-fitting and integration methods for estimating additive nonparametric regression using simulated data. Although, the asymptotic properties of the integration estimator, and to some extent the backfitting, method too, are well understood, its small sample properties are not well investigated. Apart from some small experiments in the above cited papers, there is little hard evidence concerning the exact distribution of the estimates. It is our purpose to provide an extensive finite sample comparison between the backfitting procedure and the integration procedure using simulated data.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.springer.com/statistics/journal/11749 |
| Additional Information: | © 1999 Springer |
| Uncontrolled Keywords: | additive models, curse of dimensionality, dimensionality reduction, model choice, nonparametric regression |
| Library of Congress subject classification: | H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory |
| Journal of Economic Literature Classification System: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods |
| Sets: | Departments > Economics Collections > Economists Online |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/1261/ |
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