在多变量适应回归线 (MARS) 中使用替代信息标准进行模型选择
Meryem Bekar Adiguzel1, Mehmet Ali Cengiz2
1Department of Finance, Banking & RInsurance, Ortakoy Vocational School of Higher Education, Aksaray University, 68400, Ortakoy, Aksaray, Turkey.
这项研究通过用AIC,SBC和ICss等信息标准取代一般化交叉验证来增强多变量自适应回归支柱 (MARS),以便在高维数据中改进模型选择. 在确定相关变量和简化模型方面,ICss标准被证明是最有效的.
科学领域:
- 统计 统计 统计 统计
- 机器学习 机器学习
- 数据科学数据科学数据科学
背景情况:
- 多变量自适应回归线 (MARS) 是一种用于高维数据分析的非参数方法.
- 马斯擅长在没有事先假设的情况下建模复杂的非线性关系.
- 一般化交叉验证 (GCV) 在MARS中通常用于模型选择,但在平滑参数和模型维度方面面临批评.
研究的目的:
- 通过探索替代信息标准来解决MARS中对GCV的批评.
- 确定最有效的信息标准,以节省模型选择.
- 在MARS.中评估AIC,SBC和ICss对GCV的性能.
主要方法:
- 通过使用具有相关和无关变量的数据集进行了模拟研究.
- 应用MARS与GCV和其他信息标准 (AIC,SBC,ICss).
- 分析了土耳其 (2005-2019) 贷款违约现实数据集.
主要成果:
- 模拟研究表明,信息标准在选择相关变量方面取得了成功.
- 在实现节的模型选择方面,ICss标准特别有效.
- 对贷款违约数据的分析证实了ICss标准的有效性.
结论:
- 信息标准为MARS模型选择提供了一个可行的GCV替代方案.
- ICss标准为模型构建提供了更节和更有效的方法.
- 这种增强的MARS框架提高了分析高维数据集的解释性和效率.
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