Variable Selection in Additive Models by Nonnegative Garrote
AbstractWe adapt Breiman's (1995) nonnegative garrote method to perform variable selection in nonparametric additive models. The technique avoids methods of testing for which no 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. For illustration, we consider both a study of Boston housing prices as well as two simulation settings. In all cases our methods perform as well or better than available alternatives like the Component Selection and Smoothing Operator (COSSO).
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Département des Sciences Économiques, Université de Genève in its series Research Papers by the Department of Economics, University of Geneva with number 2006.02.
Length: 17 pages
Date of creation: Mar 2006
Date of revision:
Contact details of provider:
Postal: 40 Boulevard du Pont-d'Arve, CH-1211 Geneva 4, Switzerland
Phone: +41 22 379 8263
Fax: +41 22 379 82 93
Web page: http://www.unige.ch/ses/dsec/
cross-validation; nonnegative garrote; nonparametric regression; shrinkage methods; variable selection;
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- S. N. Wood, 2000. "Modelling and smoothing parameter estimation with multiple quadratic penalties," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(2), pages 413-428.
- Harrison, David Jr. & Rubinfeld, Daniel L., 1978. "Hedonic housing prices and the demand for clean air," Journal of Environmental Economics and Management, Elsevier, vol. 5(1), pages 81-102, March.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.