Ultrahigh‐dimensional generalized additive model: Unified theory and methods

DOI10.1111/SJOS.12548MaRDI QIDQ5043786zbMATH OpenOpenAlexFDO

Authors Kaixu Yang, Tapabrata Maiti

Publication date 6 October 2022

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

Full work available at URL https://arxiv.org/abs/2008.06773

zbMATH Keywords

selection consistencygeneralized additive modeltuning parameter selectionadaptive group Lassohigh-dimensional variable selection

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Generalized linear models (logistic models) (62J12)

Abstract: Generalized additive model is a powerful statistical learning and predictive modeling tool that has been applied in a wide range of applications. The need of high-dimensional additive modeling is eminent in the context of dealing with high through-put data such as genetic data analysis. In this article, we studied a two step selection and estimation method for ultra high dimensional generalized additive models. The first step applies group lasso on the expanded bases of the functions. With high probability this selects all nonzero functions without having too much over selection. The second step uses adaptive group lasso with any initial estimators, including the group lasso estimator, that satisfies some regular conditions. The adaptive group lasso estimator is shown to be selection consistent with improved convergence rates. Tuning parameter selection is also discussed and shown to select the true model consistently under GIC procedure. The theoretical properties are supported by extensive numerical study.

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(3)

• Forward Additive Regression for Ultrahigh Dimensional Nonparametric Additive Models
• The dimensionality reduction principle for generalized additive models
• A new large-scale learning algorithm for generalized additive models

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