Prediction and Classification Using Projection Pursuit Regression with Automatic Order Selection

We developed a macro for prediction and classification using profection pursuit regression based on Friedman (1984b) and Hwang, et al. (1994). In the macro, the order of the Hermite functions can be selected automatically. In projection pursuit regression, we compare several smoothing methods such as super smoothing, smoothing with the Hermite functions. Also, classification methods applied to German credit data are compared.