Generalized Additive and Index Models with Shape Constraints

DOI10.1111/RSSB.12137zbMATH Open1414.62153arXiv1404.2957OpenAlexW1848802304MaRDI QIDQ5378367FDOQ5378367

Yining Chen, Richard Samworth

Publication date: 12 June 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Abstract: We study generalised additive models, with shape restrictions (e.g. monotonicity, convexity, concavity) imposed on each component of the additive prediction function. We show that this framework facilitates a nonparametric estimator of each additive component, obtained by maximising the likelihood. The procedure is free of tuning parameters and under mild conditions is proved to be uniformly consistent on compact intervals. More generally, our methodology can be applied to generalised additive index models. Here again, the procedure can be justified on theoretical grounds and, like the original algorithm, possesses highly competitive finite-sample performance. Practical utility is illustrated through the use of these methods in the analysis of two real datasets. Our algorithms are publicly available in the exttt{R} package extbf{scar}, short for extbf{s}hape- extbf{c}onstrained extbf{a}dditive extbf{r}egression.

Full work available at URL: https://arxiv.org/abs/1404.2957

zbMATH Keywords

generalized additive modelsshape constraintsindex modelsnon-parametric maximum likelihood estimation

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Generalized linear models (logistic models) (62J12) Parametric inference under constraints (62F30)

Cited In (30)

• Identifiability constraints in generalized additive models
• Inference for the mode of a log-concave density
• Editorial: Special issue on ``Nonparametric inference under shape constraints
• Nonparametric shape-restricted regression
• Shape constraints in economics and operations research
• Title not available (Why is that?)
• Adaptation in log-concave density estimation
• Analysis of a two-layer neural network via displacement convexity
• Additive monotone regression in high and lower dimensions
• Adaptation in multivariate log-concave density estimation
• Least squares estimation in the monotone single index model
• A new computational framework for log-concave density estimation
• Recent progress in log-concave density estimation
• Estrogen receptor expression on breast cancer patients' survival under shape-restricted Cox regression model
• Isotonic regression in general dimensions
• Active-set algorithm-based statistical inference for shape-restricted generalized additive Cox regression models
• Isotonic boosting classification rules
• A nonparametric doubly robust test for a continuous treatment effect
• Behaviour of the monotone single index model under repeated measurements
• Partially linear monotone methods with automatic variable selection and monotonicity direction discovery
• scar
• Confidence intervals for multiple isotonic regression and other monotone models
• mBART: multidimensional monotone BART
• Optimization with Non-Differentiable Constraints with Applications to Fairness, Recall, Churn, and Other Goals
• Estimating production functions through additive models based on regression splines
• Robust nonparametric frontier estimation in two steps
• Semiparametric Efficiency in Convexity Constrained Single-Index Model
• The limiting behavior of isotonic and convex regression estimators when the model is misspecified
• A framework for estimation and inference in generalized additive models with shape and order restrictions
• Isotonic regression meets Lasso

Uses Software

• R
• mgcv
• np
• mda
• AER
• tree
• scam

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