Multifold Cross-Validation Model Averaging for Generalized Additive Partial Linear Models
From MaRDI portal
Abstract: Generalized additive partial linear models (GAPLMs) are appealing for model interpretation and prediction. However, for GAPLMs, the covariates and the degree of smoothing in the nonparametric parts are often difficult to determine in practice. To address this model selection uncertainty issue, we develop a computationally feasible model averaging (MA) procedure. The model weights are data-driven and selected based on multifold cross-validation (CV) (instead of leave-one-out) for computational saving. When all the candidate models are misspecified, we show that the proposed MA estimator for GAPLMs is asymptotically optimal in the sense of achieving the lowest possible Kullback-Leibler loss. In the other scenario where the candidate model set contains at least one correct model, the weights chosen by the multifold CV are asymptotically concentrated on the correct models. As a by-product, we propose a variable importance measure to quantify the importances of the predictors in GAPLMs based on the MA weights. It is shown to be able to asymptotically identify the variables in the true model. Moreover, when the number of candidate models is very large, a model screening method is provided. Numerical experiments show the superiority of the proposed MA method over some existing model averaging and selection methods.
Cites work
- A Mallows-type model averaging estimator for the varying-coefficient partially linear model
- A model-averaging approach for high-dimensional regression
- A weight-relaxed model averaging approach for high-dimensional generalized linear models
- AdaBoost Semiparametric Model Averaging Prediction for Multiple Categories
- Asymptotic optimality and efficient computation of the leave-subject-out cross-validation
- Averaging estimators for discrete choice by \(M\)-fold cross-validation
- BOOTSTRAP INFERENCE IN SEMIPARAMETRIC GENERALIZED ADDITIVE MODELS
- Combining Linear Regression Models
- Detecting financial data dependence structure by averaging mixture copulas
- Estimating the dimension of a model
- Estimation and variable selection for generalized additive partial linear models
- Feature screening via distance correlation learning
- Focused information criterion and model averaging based on weighted composite quantile regression
- Focused information criterion and model averaging for generalized additive partial linear models
- Generalized additive models for current status data
- Generalized additive partial linear models with high-dimensional covariates
- High-dimensional additive modeling
- scientific article; zbMATH DE number 700016 (Why is no real title available?)
- scientific article; zbMATH DE number 720675 (Why is no real title available?)
- Inversion-free subsampling Newton's method for large sample logistic regression
- Jackknife model averaging
- Jackknife model averaging for high‐dimensional quantile regression
- Least Squares Model Averaging
- Least squares model averaging by Mallows criterion
- Measuring and testing dependence by correlation of distances
- Measuring risk in complex stochastic systems
- Model averaging based on leave-subject-out cross-validation
- Model averaging based on leave-subject-out cross-validation for vector autoregressions
- Model selection via multifold cross validation
- Model Selection: An Integral Part of Inference
- Optimal model averaging estimation for partially linear models
- Optimal model averaging for divergent-dimensional Poisson regressions
- Optimal model averaging of varying coefficient models
- Parsimonious Model Averaging With a Diverging Number of Parameters
- Partially linear structure identification in generalized additive models with NP-dimensionality
- Some Comments on C P
- Sparsity oriented importance learning for high-dimensional linear regression
Cited in
(4)- Unified Optimal Model Averaging with a General Loss Function based on Cross-Validation
- Variable importance based interaction modelling with an application on initial spread of COVID-19 in China
- Optimal model averaging for imbalanced classification
- Semiparametric model averaging for high-dimensional quantile regression with nonignorable nonresponse
This page was built for publication: Multifold Cross-Validation Model Averaging for Generalized Additive Partial Linear Models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6141208)
