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Component Selection in the Additive Regression Model
Author(s) -
CUI XIA,
PENG HENG,
WEN SONGQIAO,
ZHU LIXING
Publication year - 2013
Publication title -
scandinavian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.359
H-Index - 65
eISSN - 1467-9469
pISSN - 0303-6898
DOI - 10.1111/j.1467-9469.2012.00823.x
Subject(s) - mathematics , additive model , smoothing spline , feature selection , unobservable , spline (mechanical) , parametric statistics , computation , smoothness , regression analysis , model selection , linear regression , statistics , mathematical optimization , algorithm , econometrics , artificial intelligence , computer science , spline interpolation , mathematical analysis , structural engineering , engineering , bilinear interpolation
. Similar to variable selection in the linear model, selecting significant components in the additive model is of great interest. However, such components are unknown, unobservable functions of independent variables. Some approximation is needed. We suggest a combination of penalized regression spline approximation and group variable selection, called the group‐bridge‐type spline method (GBSM), to handle this component selection problem with a diverging number of correlated variables in each group. The proposed method can select significant components and estimate non‐parametric additive function components simultaneously. To make the GBSM stable in computation and adaptive 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. The proposed method is extended to a partial linear regression model analysis with real data, and gives reliable results.