Generalized additive models with flexible response functions
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Common generalized linear models depend on several assumptions: (i) the specified linear predictor, (ii) the chosen response distribution that determines the likelihood and (iii) the response function that maps the linear predictor to the conditional expectation of the response. Generalized additive models (GAM) provide a convenient way to overcome the restriction to purely linear predictors. Therefore, the covariates may be included as flexible nonlinear or spatial functions to avoid potential bias arising from misspecification. Single index models, on the other hand, utilize flexible specifications of the response function and therefore avoid the deteriorating impact of a misspecified response function. However, such single index models are usually restricted to a linear predictor and aim to compensate for potential nonlinear structures only via the estimated response function. We will show that this is insufficient in many cases and present a solution by combining a flexible approach for response function estimation using monotonic P-splines with additive predictors as in GAMs. Our approach is based on maximum likelihood estimation and also allows us to provide confidence intervals of the estimated effects. To compare our approach with existing ones, we conduct extensive simulation studies and apply our approach on two empirical examples, namely the mortality rate in São Paulo due to respiratory diseases based on the Poisson distribution and credit scoring of a German bank with binary responses.
KeywordsFlexible response function Generalized additive model Monotonic P-spline Single index model
We thank Sebastian Petry for providing the code to the paper of Tutz and Petry (2016), such that we could compare our method with the boosting approach. We also want to thank two anonymous referees and an associate editor for their helpful comments improving this paper. Moreover, we acknowledge financial support by the German Research Foundation (DFG), Grant KN 922/4-2.
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