Reluctant generalized additive modeling

DOI10.48550/ARXIV.1912.01808MaRDI QIDQ141337zbMATH OpenOpenAlexFDO

Authors J. Kenneth Tay, Robert Tibshirani, Robert Tibshirani

Publication date 4 December 2019

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

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)

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.

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Cited in

(1)

• relgam

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