Generalized Additive Model Selection

2015/06/11 by Alexandra Chouldechova, Trevor Hastie, Chouldechova, Alexandra +1 · 5 citations
Computer Science · Mathematics · #FOS: Computer and information sciences #Gaussian Processes and Bayesian Inference #Machine Learning (stat.ML) #Statistical Methods and Bayesian Inference #Statistical Methods and Inference

paper · pdf · doi:10.48550/arxiv.1506.03850

openalex publication_date 2015/06/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We introduce GAMSEL (Generalized Additive Model Selection), a penalized likelihood approach for fitting sparse generalized additive models in high dimension. Our method interpolates between null, linear and additive models by allowing the effect of each variable to be estimated as being either zero, linear, or a low-complexity curve, as determined by the data. We present a blockwise coordinate descent procedure for efficiently optimizing the penalized likelihood objective over a dense grid of the tuning parameter, producing a regularization path of additive models. We demonstrate the performance of our method on both real and simulated data examples, and compare it with existing techniques for additive model selection.

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