Advanced Search
MyIDEAS: Login

Variable Selection in Additive Models by Nonnegative Garrote

Contents:

Author Info

  • Eva Cantoni
  • Joanna Mills Flemming
  • Elvezio Ronchetti
Registered author(s):

    Abstract

    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 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 Info

    If 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.
    File URL: http://www.unige.ch/ses/dsec/repec/files/2006_02.pdf
    Download Restriction: no

    File URL: http://www.unige.ch/ses/dsec/repec/files/2006_02.ps.gz
    Download Restriction: no

    Bibliographic Info

    Paper 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.

    as in new window
    Length: 17 pages
    Date of creation: Mar 2006
    Date of revision:
    Handle: RePEc:gen:geneem:2006.02

    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
    Email:
    Web page: http://www.unige.ch/ses/dsec/

    Related research

    Keywords: cross-validation; nonnegative garrote; nonparametric regression; shrinkage methods; variable selection;

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    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.:
    as in new window
    1. 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.
    2. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:gen:geneem:2006.02. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.