Existing computationally efficient methods for penalized likelihood GAM fitting employ iterative smoothness selection on working linear models (or working mixed models). Such schemes fail to converge for a non-negligible proportion of models, with failure being particularly frequent in the presence of concurvity. If smoothness selection is performed by optimizing `whole model' criteria these problems disappear, but until now attempts to do this have employed finite difference based optimization schemes which are computationally inefficient, and can suffer from false convergence. This paper develops the first computationally efficient method for direct GAM smoothness selection. It is highly stable, but by careful structuring achieves a computational efficiency that leads, in simulations, to lower mean computation times than the schemes based on working-model smoothness selection. The method also offers a reliable way of fitting generalized additive mixed models.
The Matérn covariance function is ubiquitous in the application of Gaussian processes to spatial statistics and beyond. Perhaps the most important reason for this is that the smoothness parameter $ν$ gives complete control over the mean-square differentiability of the process, which has significant implications for the behavior of estimated quantities such as interpolants and forecasts. Unfortunately, derivatives of the Matérn covariance function with respect to $ν$ require derivatives of the modified second-kind Bessel function $\mathcal{K}_ν$ with respect to $ν$. While closed form expression…
This article introduces the R package evgam. The package provides functions for fitting extreme value distributions. These include the generalized extreme value and generalized Pareto distributions. The former can also be fitted through a point process representation. evgam supports quantile regression via the asymmetric Laplace distribution, which can be useful for estimating high thresholds, sometimes used to discriminate between extreme and non-extreme values. The main addition of evgam is to let extreme value distribution parameters have generalized additive model forms, which can be objec…
In additive models with many nonparametric components, a number of regularized estimators have been proposed and proven to attain various error bounds under different combinations of sparsity and fixed smoothness conditions. Some of these error bounds match minimax rates in the corresponding settings. Some of the rate minimax methods are non-convex and computationally costly. From these perspectives, the existing solutions to the high-dimensional additive nonparametric regression problem are fragmented. In this paper, we propose a multi-resolution group Lasso (MR-GL) method in a unified approa…
neuralGAM: An R Package for Fitting Generalized Additive Neural Networks
Galician Research and Development Center in Advanced Telecommunications (Gradiant)（加利西亚先进电信研究与发展中心（Gradiant））；Galician Centre for Mathematical Research and Technology (CITMAga)（加利西亚数学研究与技术中心（CITMAga））；Universidade de Vigo, Department of Statistics and O.R. & SiDOR Group（维戈大学统计与运筹学系及SiDOR小组）
Bayesian Functional Generalized Additive Models with Sparsely Observed Covariates
McLean等人（2013）最近提出了函数广义可加模型（FGAM），作为常见函数线性模型（FLM）的更灵活的替代方案，用于回归函数协变量的标量。在本文中，我们开发了一个贝叶斯版本的FGAM的高斯误差的情况下，单位链接功能。我们的方法允许函数协变量被稀疏地观察和测量，而McLean et al.（2013）的估计过程要求它们在规则网格上被无噪声地观察。我们认为这两个蒙特卡罗和变分贝叶斯方法拟合FGAM稀疏观测协变量。由于模型后验分布和全条件分布的复杂形式，标准蒙特卡罗和变分贝叶斯算法不能使用。我们使用的策略来处理更新的参数没有封闭形式的完整条件应该是独立的兴趣应用贝叶斯统计学家与非共轭模型。我们的数值研究表明，我们的算法的好处，首先使用标准技术恢复完整的轨迹，然后拟合一个功能回归模型的两步方法。在一个真实的数据分析中，我们的方法被应用到预测在网上拍卖网站eBay上拍卖的物品的收盘价。
我们提出了一种新的框架，用于拟合添加剂分位数回归模型，它提供了良好的校准推断的条件分位数和快速自动估计的平滑参数，模型结构不同的分布GAM，同时保持相同的数值效率和稳定性。所提出的方法在统计上是严格的，在计算上是有效的，因为它们是基于Bissiri et al.（2016）的一般信念更新框架，以基于损失的推理，但通过调整Wood et al.（2016）的稳定拟合方法来计算。我们展示了弹球损失是如何统计次优相对于一个新的平滑概括，这也提供了快速估计方法。此外，我们提供了一种新的校准方法，有效地选择“学习率”平衡损失与平滑先验在推理过程中，从而获得可靠的分位数不确定性估计。我们的工作是出于概率电力负荷预测的应用程序，在这里使用，以证明所提出的方法。这里描述的方法由qgam R包实现，该包可在Comprehensive R Archive Network（CRAN）上获得。
Generalized additive models (GAMs) provide a way to blend parametric and non-parametric (function approximation) techniques together, making them flexible tools suitable for many modeling problems. For instance, GAMs can be used to introduce flexibility to standard linear regression models, to express "almost linear" behavior for a phenomenon. A need for GAMs often arises also in physical models, where the model given by theory is an approximation of reality, and one wishes to express the coefficients as functions instead of constants. In this paper, we discuss GAMs from the Bayesian perspecti…
Cox proportional hazards model is one of the most popular models in biomedical data analysis. There have been continuing efforts to improve the flexibility of such models for complex signal detection, for example, via additive functions. Nevertheless, the task to extend Cox additive models to accommodate high-dimensional data is nontrivial. When estimating additive functions, commonly used group sparse regularization may introduce excess smoothing shrinkage on additive functions, damaging predictive performance. Moreover, an "all-in-all-out" approach makes functional selection challenging to a…
Discrete but ordered covariates are quite common in applied statistics, and some regularized fitting procedures have been proposed for proper handling of ordinal predictors in statistical modeling. In this study, we show how quadratic penalties on adjacent dummy coefficients of ordinal predictors proposed in the literature can be incorporated in the framework of generalized additive models, making tools for statistical inference developed there available for ordinal predictors as well. Motivated by an application from neonatal medicine, we discuss whether results obtained when constructing con…
We provide a flexible framework for selecting among a class of additive partial linear models that allows both linear and nonlinear additive components. In practice, it is challenging to determine which additive components should be excluded from the model while simultaneously determining whether nonzero additive components should be represented as linear or non-linear components in the final model. In this paper, we propose a Bayesian model selection method that is facilitated by a carefully specified class of models, including the choice of a prior distribution and the nonparametric model us…
Multivariate functional data can be intrinsically multivariate like movement trajectories in 2D or complementary like precipitation, temperature, and wind speeds over time at a given weather station. We propose a multivariate functional additive mixed model (multiFAMM) and show its application to both data situations using examples from sports science (movement trajectories of snooker players) and phonetic science (acoustic signals and articulation of consonants). The approach includes linear and nonlinear covariate effects and models the dependency structure between the dimensions of the resp…
There are proposals that extend the classical generalized additive models (GAMs) to accommodate high-dimensional data ($p>>n$) using group sparse regularization. However, the sparse regularization may induce excess shrinkage when estimating smooth functions, damaging predictive performance. Moreover, most of these GAMs consider an "all-in-all-out" approach for functional selection, rendering them difficult to answer if nonlinear effects are necessary. While some Bayesian models can address these shortcomings, using Markov chain Monte Carlo algorithms for model fitting creates a new challenge, …
