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Title: | Variable selection using P-splines | Authors: | Gijbels, Irène VERHASSELT, Anneleen Vrinssen, Inge |
Issue Date: | 2015 | Source: | Wiley Interdisciplinary Reviews: Computational Statistics 7(1), p. 1-20. | Abstract: | Selecting among a large set of variables those that influence most a response variable is an important problem in statistics.When the assumed regression model involves a nonparametric component, penalized regression techniques, and in particular P-splines, are among the commonly used methods. The aim of this paper is to provide a brief review of variable selection methods using P-splines. Starting frommultiple linear regression models,with least-squares regression, and Ridge regression, we review standard methods that perform variable selection, such as LASSO, nonnegative garrote, the SCAD method, etc. We briefly discuss a general framework of penalization and regularization methods. Going toward more flexible regression models, with some nonparametric component(s), we discuss P-splines estimation. For some examples of flexible regression models, we then review a few variable selection methods using P-splines. A brief discussion on grouped regularization techniques and on a robust variable selection method is given. Furthermore, we mention key ingredients in Bayesian approaches, and end the paper by drawing the attention to several other issues in variable selection with P-splines. Throughout the paper we provide some illustrations. | Notes: | Correspondence to: irene.gijbels@wis.kuleuven.be | Keywords: | additive regression; linear regression; P-splines; regularization techniques; Ridge regression; robust variable selection; variable selection; varying coefficient models | Document URI: | http://hdl.handle.net/1942/17097 | ISSN: | 1939-0068 | e-ISSN: | 1939-0068 | DOI: | 10.1002/wics.1327 | ISI #: | 000367013700001 | Rights: | © 2014 Wiley Periodical s, Inc. | Category: | A1 | Type: | Journal Contribution | Validations: | vabb 2016 |
Appears in Collections: | Research publications |
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Gijbels Verhasselt Vrinssen WIRE.pdf Restricted Access | Peer-reviewed author version | 485.36 kB | Adobe PDF | View/Open Request a copy |
Gijbels_et_al-2015-Wiley_Interdisciplinary_Reviews-_Computational_Statistics.pdf Restricted Access | Published version | 648.12 kB | Adobe PDF | View/Open Request a copy |
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