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Kneib, Thomas and Konrath, Susanne and Fahrmeir, Ludwig (23. January 2009): High-dimensional Structured Additive Regression Models: Bayesian Regularisation, Smoothing and Predictive Performance. Department of Statistics: Technical Reports, No.46
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Abstract

Data structures in modern applications frequently combine the necessity of flexible regression techniques such as nonlinear and spatial effects with high-dimensional covariate vectors. While estimation of the former is typically achieved by supplementing the likelihood with a suitable smoothness penalty, the latter are usually assigned shrinkage penalties that enforce sparse models. In this paper, we consider a Bayesian unifying perspective, where conditionally Gaussian priors can be assigned to all types of regression effects. Suitable hyperprior assumptions on the variances of the Gaussian distributions then induce the desired smoothness or sparseness properties. As a major advantage, general Markov chain Monte Carlo simulation algorithms can be developed that allow for the joint estimation of smooth and spatial effects and regularised coefficient vectors. Two applications demonstrate the usefulness of the proposed procedure: A geoadditive regression model for data from the Munich rental guide and an additive probit model for the prediction of consumer credit defaults. In both cases, high-dimensional vectors of categorical covariates will be included in the regression models. The predictive ability of the resulting high-dimensional structure additive regression models compared to expert models will be of particular relevance and will be evaluated on cross-validation test data.