Covariance Assisted Multivariate Penalized Additive Regression (CoMPAdRe)

Neel Desai1, Veerabhadran Baladandayuthapani2, Russell T Shinohara1

  • 1Division of Biostatistics, University of Pennsylvania.

Journal of Computational and Graphical Statistics : a Joint Publication of American Statistical Association, Institute of Mathematical Statistics, Interface Foundation of North America
|August 11, 2025
PubMed
Summary

We introduce Covariance Assisted Multivariate Penalized Additive Regression (CoMPAdRe), a new method for selecting and estimating sparse additive models. This approach improves variable selection and estimation efficiency by accounting for inter-response correlation in multivariate data.

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