Nonparametric Estimation of the Link Function Including Variable Selection

Tutz, Gerhard und Petry, Sebastian (9. Juli 2010): Nonparametric Estimation of the Link Function Including Variable Selection. Department of Statistics: Technical Reports, Nr. 85

Abstract

Nonparametric methods for the estimation of the link function in generalized linear models are able to avoid bias in the regression parameters. But for the estimation of the link typically the full model, which includes all predictors, has been used. When the number of predictors is large these methods fail since the full model can not be estimated. In the present article a boosting type method is proposed that simultaneously selects predictors and estimates the link function. The method performs quite well in simulations and real data examples.

• Dokumententyp: Paper
• Keywords: Single-Index Models, P-splines, Choice of Link Function, Variable Selection, Nonparametric Estimation of Link Function.
• Fakultät: Mathematik, Informatik und Statistik > Statistik > Technische Reports
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• Sprache: Englisch