Boosting additive models using component-wise P-Splines

  • Authors:
  • Matthias Schmid;Torsten Hothorn

  • Affiliations:
  • Institut für Medizininformatik, Biometrie und Epidemiologie, Friedrich-Alexander-Universität Erlangen-Nürnberg, Waldstraíe 6, D-91054 Erlangen, Germany;Institut für Statistik, Ludwig-Maximilians-Universität München, Ludwigstraíe 33, D-80539 München, Germany

  • Venue:
  • Computational Statistics & Data Analysis
  • Year:
  • 2008

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Abstract

An efficient approximation of L"2 Boosting with component-wise smoothing splines is considered. Smoothing spline base-learners are replaced by P-spline base-learners, which yield similar prediction errors but are more advantageous from a computational point of view. A detailed analysis of the effect of various P-spline hyper-parameters on the boosting fit is given. In addition, a new theoretical result on the relationship between the boosting stopping iteration and the step length factor used for shrinking the boosting estimates is derived.