Variable Selection for Additive Model via Cumulative Ratios of Empirical Strengths Total

• Activity Number: 135
• Type: Contributed
• Date/Time: Monday, August 10, 2015 : 8:30 AM to 10:20 AM
• Sponsor: Section on Nonparametric Statistics
• Author(s): Miao Yang* and Lan Xue and Lijian Yang
• Companies: and Oregon State University and Soochow University
• Keywords: additive model ; B spline ; cumulative ratios of empirical strengths total (CUREST) ; lag selection ; variable selection

Abstract

We propose a data-driven method to select significant variables in additive model via spline estimation. The additive structure of the regression model is imposed to overcome the "curse of dimensionality" , while the spline estimators provide a good approximation to the additive components of the model. The additive components are ordered according to their empirical strengths, and the significant variables are chosen at the first crossing of a predetermined threshold by the CUmulative Ratios of Empirical Strengths Total (CUREST) of the components. Consistency of the proposed method is established, while extensive Monte Carlo study demonstrates superior performance of the proposed method and its advantages over the BIC method of Huang and Yang (2004, JRSSB) in terms of speed and accuracy.