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Tutz, Gerhard; Petry, Sebastian (9. July 2010): Nonparametric Estimation of the Link Function Including Variable Selection. Department of Statistics: Technical Reports, No.85


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.