Gradient boosting for distributional regression: faster tuning and improved variable selection via noncyclical updates View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2018-05

AUTHORS

Janek Thomas, Andreas Mayr, Bernd Bischl, Matthias Schmid, Adam Smith, Benjamin Hofner

ABSTRACT

We present a new algorithm for boosting generalized additive models for location, scale and shape (GAMLSS) that allows to incorporate stability selection, an increasingly popular way to obtain stable sets of covariates while controlling the per-family error rate. The model is fitted repeatedly to subsampled data, and variables with high selection frequencies are extracted. To apply stability selection to boosted GAMLSS, we develop a new “noncyclical” fitting algorithm that incorporates an additional selection step of the best-fitting distribution parameter in each iteration. This new algorithm has the additional advantage that optimizing the tuning parameters of boosting is reduced from a multi-dimensional to a one-dimensional problem with vastly decreased complexity. The performance of the novel algorithm is evaluated in an extensive simulation study. We apply this new algorithm to a study to estimate abundance of common eider in Massachusetts, USA, featuring excess zeros, overdispersion, nonlinearity and spatiotemporal structures. Eider abundance is estimated via boosted GAMLSS, allowing both mean and overdispersion to be regressed on covariates. Stability selection is used to obtain a sparse set of stable predictors. More... »

PAGES

673-687

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s11222-017-9754-6

DOI

http://dx.doi.org/10.1007/s11222-017-9754-6

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1085396828


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