Additive model

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In statistics, an additive model (AM) is a nonparametric regression method. It was suggested by Jerome H. Friedman and Werner Stuetzle (1981)[1] and is an essential part of the ACE algorithm. The AM uses a one-dimensional smoother to build a restricted class of nonparametric regression models. Because of this, it is less affected by the curse of dimensionality than e.g. a p-dimensional smoother. Furthermore, the AM is more flexible than a standard linear model, while being more interpretable than a general regression surface at the cost of approximation errors. Problems with AM include model selection, overfitting, and multicollinearity.

Description[edit]

Given a data set of n statistical units, where represent predictors and is the outcome, the additive model takes the form

or

Where , and . The functions are unknown smooth functions fit from the data. Fitting the AM (i.e. the functions ) can be done using the backfitting algorithm proposed by Andreas Buja, Trevor Hastie and Robert Tibshirani (1989).[2]

See also[edit]

References[edit]

  1. ^ Friedman, J.H. and Stuetzle, W. (1981). "Projection Pursuit Regression", Journal of the American Statistical Association 76:817–823. doi:10.1080/01621459.1981.10477729
  2. ^ Buja, A., Hastie, T., and Tibshirani, R. (1989). "Linear Smoothers and Additive Models", The Annals of Statistics 17(2):453–555. JSTOR 2241560

Further reading[edit]