Nonparametric Decomposition of Time Series Data with Inputs |
| |
Authors: | Edward Santos Erniel Barrios |
| |
Institution: | 1. School of Statistics, University of the Philippines , Quezon city , Philippines ernielb@yahoo.com;3. School of Statistics, University of the Philippines , Quezon city , Philippines |
| |
Abstract: | The backfitting algorithm commonly used in estimating additive models is used to decompose the component shares explained by a set of predictors on a dependent variable in the presence of linear dependencies (multicollinearity) among the predictors. Simulated and actual data show that the backfitting methods are superior in terms of predictive ability as the degree of multicollinearity worsens. Furthermore, the additive smoothing splines are especially superior when the linear model yield inadequate fit to the data and the predictors exhibit extreme multicollinearity. |
| |
Keywords: | Additive models Backfitting Multicollinearity Nonparametric regression Ordinary least squares |
|
|