Università della Svizzera italiana

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...

Università della Svizzera italiana

Variable selection for marginal longitudinal generalized linear models

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

In: Biometrics, 2005, vol. 61, no. 2, p. 507-514

Variable selection is an essential part of any statistical analysis and yet has been somewhat neglected in the context of longitudinal data analysis. In this paper we propose a generalized version of Mallows's Cp (GCp) suitable for use with both parametric and nonparametric models. GCp provides an estimate of a measure of model's adequacy for prediction. We examine its performance with popular...