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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...