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Variable selection in additive models using P-splines

Abstract : This article extends the nonnegative garrote method to a component selection method in a nonparametric additive model in which each univariate function is estimated with P-splines. We also establish the consistency of the procedure. An advantage of P-splines is that the fitted function is represented in a rather small basis of B-splines. A numerical study illustrates the finite-sample performance of the method and includes a comparison with other methods. The nonnegative garrote method with P-splines has the advantage of being computationally fast and performs, with an appropriate parameter selection procedure implemented, overall very well. Real data analysis leads to interesting findings. Supplementary materials for this article (technical proofs, additional numerical results, R code) are available online.
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https://hal.inria.fr/hal-00851194
Contributor : Brigitte Bidégaray-Fesquet <>
Submitted on : Monday, August 12, 2013 - 11:59:06 PM
Last modification on : Thursday, November 19, 2020 - 1:01:10 PM

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Anestis Antoniadis, Irène Gijbels, Anneleen Verhasselt. Variable selection in additive models using P-splines. Technometrics, Taylor & Francis, 2012, 54 (4), pp.425-438. ⟨10.1080/00401706.2012.726000⟩. ⟨hal-00851194⟩

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