Integration and Backfitting methods in additive models: finite sample properties and comparison

Wolfgang Hardle and Oliver Linton
Authors registered in the RePEc Author Service: Stefan Sperlich ()

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: We examine and compare the finite sample performance of the competing backfitting 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.

Keywords: Additive; models; Cure; of; Dimensionality; Dimensionality; reduction; Model; choice; Nonparametric; regression (search for similar items in EconPapers)
Date: 1998-11
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Journal Article: Integration and backfitting methods in additive models-finite sample properties and comparison (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:6270

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