A sparse estimate based on variational approximations for semiparametric generalized additive models

Fan Yang and Yuehan Yang ()
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Fan Yang: Central University of Finance and Economics
Yuehan Yang: Central University of Finance and Economics

Computational Statistics, 2024, vol. 39, issue 4, No 11, 1992 pages

Abstract: Abstract In semiparametric regression, traditional methods such as mixed generalized additive models (GAM), computed via Laplace approximation or variational approximation using penalized marginal likelihood estimation, may not achieve sparsity and unbiasedness simultaneously, and may sometimes suffer from convergence problems. To address these issues, we propose an estimator for semiparametric generalized additive models based on the marginal likelihood. Our approach provides sparsity estimates and allows for statistical inference. To estimate and select variables, we use the smoothly clipped absolute deviation penalty (SCAD) within the framework of variational approximation. We also propose efficient iterative algorithms to obtain estimations. Simulation results support our theoretical characteristics, and we demonstrate that our method is more effective than the original variational approximations framework and many other penalized methods under certain conditions. Moreover, applications with actual data further demonstrate the superior performance of the proposed method.

Keywords: Variational approximation; Generalized additive models; Penalized splines; Semiparametric regression (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s00180-024-01485-2

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