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Journal article

Variable selection in additive models by nonnegative garrote

  • Cantoni, Eva Department of econometrics, University of Geneva, Switzerland
  • Mills Flemming, Joanna Department of mathematics and statistics, Dalhousie University, Halifax, Canada
  • Ronchetti, Elvezio Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
    2009
Published in:
  • Statistical modelling. - Sage publications. - 2011, vol. 11, no. 3, p. 237-252
Blue shark logbook data
cross-validation
nonnegative garrote
nonparametric regression
shrinkage methods
variable selection
English We adapt Breiman’s (1995) nonnegative garrote method to perform variable selection in nonparametric additive models. The technique avoids methods of testing for which no general reliable distributional theory is available. In addition it removes the need for a full search of all possible models, something which is computationally intensive, especially when the number of variables is moderate to high. The method has the advantages of being conceptually simple and computationally fast. It provides accurate predictions and is effective at identifying the variables generating the model. To illustrate our procedure, we analyze logbook data on blue sharks (Prionace glauca) from the United States pelagic longline fishery. In addition we compare our proposal to a series of available alternatives by simulation. The results show that in all cases our methods perform better or as these alternatives.
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  • English
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Economics
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https://n2t.net/ark:/12658/srd1318250
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