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A sparse estimate based on variational approximations for semiparametric generalized additive models

Author

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  • Fan Yang

    (Central University of Finance and Economics)

  • Yuehan Yang

    (Central University of Finance and Economics)

Abstract

In semiparametric regression, traditional methods such as mixed generalized additive models (GAM), computed via Laplace approximation or variational approximation using penalized marginal likelihood estimation, may not achieve sparsity and unbiasedness simultaneously, and may sometimes suffer from convergence problems. To address these issues, we propose an estimator for semiparametric generalized additive models based on the marginal likelihood. Our approach provides sparsity estimates and allows for statistical inference. To estimate and select variables, we use the smoothly clipped absolute deviation penalty (SCAD) within the framework of variational approximation. We also propose efficient iterative algorithms to obtain estimations. Simulation results support our theoretical characteristics, and we demonstrate that our method is more effective than the original variational approximations framework and many other penalized methods under certain conditions. Moreover, applications with actual data further demonstrate the superior performance of the proposed method.

Suggested Citation

  • Fan Yang & Yuehan Yang, 2024. "A sparse estimate based on variational approximations for semiparametric generalized additive models," Computational Statistics, Springer, vol. 39(4), pages 1971-1992, June.
    • Handle: RePEc:spr:compst:v:39:y:2024:i:4:d:10.1007_s00180-024-01485-2
    DOI: 10.1007/s00180-024-01485-2
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    References listed on IDEAS

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