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Mayr, Andreas and Fenske, Nora and Hofner, Benjamin and Kneib, Thomas and Schmid, Matthias (2010): GAMLSS for high-dimensional data – a flexible approach based on boosting. Department of Statistics: Technical Reports, No.98
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Abstract

Generalized additive models for location, scale and shape (GAMLSS) are a popular semi-parametric modelling approach that, in contrast to conventional GAMs, regress not only the expected mean but every distribution parameter (e.g. location, scale and shape) to a set of covariates. Current fitting procedures for GAMLSS are infeasible for high-dimensional data setups and require variable selection based on (potentially problematic) information criteria. The present work describes a boosting algorithm for high-dimensional GAMLSS that was developed to overcome these limitations. Specifically, the new algorithm was designed to allow the simultaneous estimation of predictor effects and variable selection. The proposed algorithm was applied to data of the Munich Rental Guide, which is used by landlords and tenants as a reference for the average rent of a flat depending on its characteristics and spatial features. The net-rent predictions that resulted from the high-dimensional GAMLSS were found to be highly competitive while covariate-specific prediction intervals showed a major improvement over classical GAMs.