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Inference for \(L_2\)-Boosting

  • David RügamerEmail author
  • Sonja Greven
Article
  • 33 Downloads

Abstract

We propose a statistical inference framework for the component-wise functional gradient descent algorithm (CFGD) under normality assumption for model errors, also known as \(L_2\)-Boosting. The CFGD is one of the most versatile tools to analyze data, because it scales well to high-dimensional data sets, allows for a very flexible definition of additive regression models and incorporates inbuilt variable selection. Due to the variable selection, we build on recent proposals for post-selection inference. However, the iterative nature of component-wise boosting, which can repeatedly select the same component to update, necessitates adaptations and extensions to existing approaches. We propose tests and confidence intervals for linear, grouped and penalized additive model components selected by \(L_2\)-Boosting. Our concepts also transfer to slow-learning algorithms more generally, and to other selection techniques which restrict the response space to more complex sets than polyhedra. We apply our framework to an additive model for sales prices of residential apartments and investigate the properties of our concepts in simulation studies.

Keywords

Bootstrap Functional gradient descent boosting Post-selection inference Selective inference Slow learner 

Notes

Supplementary material

11222_2019_9882_MOESM1_ESM.pdf (388 kb)
Supplementary material 1 (pdf 388 KB)

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Copyright information

© Springer Science+Business Media, LLC, part of Springer Nature 2019

Authors and Affiliations

  1. 1.Department of StatisticsLMU MunichMunichGermany
  2. 2.Chair of Statistics, School of Business and EconomicsHumboldt University of BerlinBerlinGermany

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