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Statistical inference for generalized additive models: simultaneous confidence corridors and variable selection

Author

Listed:
  • Shuzhuan Zheng

    (Soochow University
    Columbia University)

  • Rong Liu

    (University of Toledo)

  • Lijian Yang

    (Tsinghua University)

  • Wolfgang K. Härdle

    (Humboldt-Universität zu Berlin
    Singapore Management University)

Abstract

In spite of widespread use of generalized additive models (GAMs) to remedy the “curse of dimensionality”, there is no well-grounded methodology developed for simultaneous inference and variable selection for GAM in existing literature. However, both are essential in enhancing the capability of statistical models. To this end, we establish simultaneous confidence corridors (SCCs) and a type of Bayesian information criterion (BIC) through the spline-backfitted kernel smoothing techniques proposed in recent articles. To characterize the global features of each non-parametric components, SCCs are constructed for testing their overall trends and entire shapes. By extending the BIC in additive models with identity/trivial link, an asymptotically consistent BIC approach for variable selection is built up in GAM to improve the parsimony of model without loss of prediction accuracy. Simulations and a real example corroborate the above findings.

Suggested Citation

  • Shuzhuan Zheng & Rong Liu & Lijian Yang & Wolfgang K. Härdle, 2016. "Statistical inference for generalized additive models: simultaneous confidence corridors and variable selection," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 25(4), pages 607-626, December.
    • Handle: RePEc:spr:testjl:v:25:y:2016:i:4:d:10.1007_s11749-016-0480-8
    DOI: 10.1007/s11749-016-0480-8
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    References listed on IDEAS

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    Cited by:

    1. Jie Li & Jiangyan Wang & Lijian Yang, 2022. "Kolmogorov–Smirnov simultaneous confidence bands for time series distribution function," Computational Statistics, Springer, vol. 37(3), pages 1015-1039, July.
    2. Li Cai & Lisha Li & Simin Huang & Liang Ma & Lijian Yang, 2020. "Oracally efficient estimation for dense functional data with holiday effects," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(1), pages 282-306, March.
    3. Gu, Lijie & Wang, Suojin & Yang, Lijian, 2021. "Smooth simultaneous confidence band for the error distribution function in nonparametric regression," Computational Statistics & Data Analysis, Elsevier, vol. 155(C).
    4. Wang, Jiangyan & Gu, Lijie & Yang, Lijian, 2022. "Oracle-efficient estimation for functional data error distribution with simultaneous confidence band," Computational Statistics & Data Analysis, Elsevier, vol. 167(C).
    5. Li Cai & Lijie Gu & Qihua Wang & Suojin Wang, 2021. "Simultaneous confidence bands for nonparametric regression with missing covariate data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(6), pages 1249-1279, December.
    6. Li, Xinyi & Wang, Li & Nettleton, Dan, 2019. "Sparse model identification and learning for ultra-high-dimensional additive partially linear models," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 204-228.
    7. Yuanyuan Zhang & Lijian Yang, 2018. "A smooth simultaneous confidence band for correlation curve," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(2), pages 247-269, June.
    8. Rong Liu & Yichuan Zhao, 2021. "Empirical likelihood inference for generalized additive partially linear models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(3), pages 569-585, September.
    9. Chen Zhong & Lijian Yang, 2021. "Simultaneous confidence bands for comparing variance functions of two samples based on deterministic designs," Computational Statistics, Springer, vol. 36(2), pages 1197-1218, June.

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