Facoltà di scienze economiche

Variable selection in additive models by nonnegative garrote

Cantoni, Eva ; Mills Flemming, Joanna ; Ronchetti, Elvezio

In: Statistical modelling, 2011, vol. 11, no. 3, p. 237-252

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... Plus

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    Summary
    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.