Nonnegative garrote in additive models using P-splines

author: Anneleen Verhasselt, KU Leuven
published: Dec. 18, 2008,   recorded: December 2008,   views: 4095


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The nonnegative garrote method was proposed as a variable selection method by Breiman (1995). In this talk we consider additive modeling and apply the nonnegative garrote method for selecting among the d independent variables. For initial estimation of the d unknown univariate functions, we use P-splines estimation (Eilers & Marx (1996)) and backfitting is applied to deal with the additive modeling. We compare the pro- posed method involving P-splines with some other methods for additive models. The finite sample performance of the procedure is investigated via a simulation study and an illustration with real data is provided.

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