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Bandwidth selection for backfitting estimation of semiparametric additive models: A simulation study

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  • Häggström, Jenny

Abstract

A data-driven bandwidth selection method for backfitting estimation of semiparametric additive models, when the parametric part is of main interest, is proposed. The proposed method is a double smoothing estimator of the mean-squared error of the backfitting estimator of the parametric terms. The performance of the proposed method is evaluated and compared with existing bandwidth selectors by means of a simulation study.

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  • Häggström, Jenny, 2013. "Bandwidth selection for backfitting estimation of semiparametric additive models: A simulation study," Computational Statistics & Data Analysis, Elsevier, vol. 62(C), pages 136-148.
    • Handle: RePEc:eee:csdana:v:62:y:2013:i:c:p:136-148
    DOI: 10.1016/j.csda.2013.01.010
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