Reluctant generalized additive modeling

DOI10.48550/ARXIV.1912.01808arXiv1912.01808OpenAlexW3109276897MaRDI QIDQ141337FDOQ141337

Robert Tibshirani, Author name not available (Why is that?), Robert Tibshirani, J. Kenneth Tay

Publication date: 4 December 2019

Published in: International Statistical Review (Search for Journal in Brave)

Abstract: Sparse generalized additive models (GAMs) are an extension of sparse generalized linear models which allow a model's prediction to vary non-linearly with an input variable. This enables the data analyst build more accurate models, especially when the linearity assumption is known to be a poor approximation of reality. Motivated by reluctant interaction modeling (Yu et al. 2019), we propose a multi-stage algorithm, called $extitreluctantgeneralizedadditivemodeling(RGAM)$, that can fit sparse generalized additive models at scale. It is guided by the principle that, if all else is equal, one should prefer a linear feature over a non-linear feature. Unlike existing methods for sparse GAMs, RGAM can be extended easily to binary, count and survival data. We demonstrate the method's effectiveness on real and simulated examples.

Full work available at URL: https://arxiv.org/abs/1912.01808

zbMATH Keywords

feature selectionregressionsparsitygeneralised additive modelshigh-dimensionalnon-linear

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Parametric inference (62Fxx) Linear inference, regression (62Jxx)

Cites Work

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Cited In (1)

• relgam

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