Component selection in the additive regression model

DOI10.1111/J.1467-9469.2012.00823.XzbMATH Open1364.62091arXiv1101.0047OpenAlexW1938876420MaRDI QIDQ2852624FDOQ2852624

Authors: Xia Cui, Heng Peng, Songqiao Wen, Li-Xing Zhu 

Publication date: 9 October 2013

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Abstract: Similar to variable selection in the linear regression model, selecting significant components in the popular additive regression model is of great interest. However, such components are unknown smooth functions of independent variables, which are unobservable. As such, some approximation is needed. In this paper, we suggest a combination of penalized regression spline approximation and group variable selection, called the lasso-type spline method (LSM), to handle this component selection problem with a diverging number of strongly correlated variables in each group. It is shown that the proposed method can select significant components and estimate nonparametric additive function components simultaneously with an optimal convergence rate simultaneously. To make the LSM stable in computation and able to adapt its estimators to the level of smoothness of the component functions, weighted power spline bases and projected weighted power spline bases are proposed. Their performance is examined by simulation studies across two set-ups with independent predictors and correlated predictors, respectively, and appears superior to the performance of competing methods. The proposed method is extended to a partial linear regression model analysis with real data, and gives reliable results.

Full work available at URL: https://arxiv.org/abs/1101.0047

Recommendations

• Variable selection in nonparametric additive models
• Group selection in high-dimensional partially linear additive models
• Consistent variable selection in additive models
• scientific article; zbMATH DE number 6951486
• Component selection in additive quantile regression models

zbMATH Keywords

Lassogroup variable selectionadditive modelpenalized splinesgeneralized cross-validationnonparametric component

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• High-dimensional additive modeling
• Title not available (Why is that?)
• Ideal spatial adaptation by wavelet shrinkage
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Additive regression and other nonparametric models
• Nonparametric regression using Bayesian variable selection
• Locally adaptive regression splines
• Variable Selection and Function Estimation in Additive Nonparametric Regression Using a Data-Based Prior
• Tuning parameter selectors for the smoothly clipped absolute deviation method
• The existence and asymptotic properties of a backfitting projection algorithm under weak conditions
• Nonconcave penalized likelihood with a diverging number of parameters.
• A group bridge approach for variable selection
• Flexible Parsimonious Smoothing and Additive Modeling
• A Fully Automated Bandwidth Selection Method for Fitting Additive Models
• Component selection and smoothing in multivariate nonparametric regression
• Variable selection in nonparametric additive models
• Smooth backfitting in generalized additive models
• Bandwidth selection for smooth backfitting in additive models
• Group variable selection via a hierarchical lasso and its oracle property
• A kernel method of estimating structured nonparametric regression based on marginal integration
• Linear smoothers and additive models
• The dimensionality reduction principle for generalized additive models
• Direct estimation of low-dimensional components in additive models.
• Profile-kernel likelihood inference with diverging number of parameters
• Smooth Backfitting in Practice
• A simple smooth backfitting method for additive models
• Fourier series approximation of separable models
• Prediction Error Estimation Under Bregman Divergence for Non‐Parametric Regression and Classification

Cited In (17)

• Effect Selection and Regularization in Structured Additive Distributional Regression
• Nonparametric variable selection and its application to additive models
• Sure independence screening in ultrahigh dimensional generalized additive models
• A sequential approach to feature selection in high-dimensional additive models
• Variable selection in partially linear additive hazards model with grouped covariates and a diverging number of parameters
• Feature screening in ultrahigh-dimensional additive Cox model
• Variable selection for additive model via cumulative ratios of empirical strengths total
• Component selection in additive quantile regression models
• Title not available (Why is that?)
• Variable Selection via Additive Conditional Independence
• Robust and efficient direction identification for groupwise additive multiple-index models and its applications
• Automatic component selection in additive modeling of French national electricity load forecasting
• Additive model selection
• A group bridge approach for component selection in nonparametric accelerated failure time additive regression model
• Detection the symmetry or asymmetry of model errors in partial linear models
• Testing symmetry of model errors for nonparametric regression models by using correlation coefficient¹
• Variable selection in nonparametric additive models

Uses Software

• Excel
• hgam

This page was built for publication: Component selection in the additive regression model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2852624)