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Integration and backfitting methods in additive models-finite sample properties and comparison

By Oliver Linton, W Hardle and S Sperlich

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

Topics: HA Statistics, HB Economic Theory
Publisher: Springer
Year: 1999
DOI identifier: 10.1007/BF02595879
OAI identifier: oai:eprints.lse.ac.uk:1261
Provided by: LSE Research Online
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